This is one of the reasons why FB et al go to a special link before opening the actual target site.
That's more of a happy accident. Their primary reason is to track things.
I thought the primary reason was privacy: https://m.facebook.com/notes/facebook-engineering/protecting...
You can track click without a redirect.
Like using utm?
As described in the article, it is dangerous when the link's destination is not controlled by you. That destination has access to its opener's window and could potentially change the url to eg. a malicious look-alike of your site.
It's a consideration when linking to arbitrary pages, but when you own the destination (and trust that your site has no other security issues) then this becomes a non-issue.