As of now (June, 2020), it is possible to do what you described. Here is an official documentation.
Shortly:
Select part of text where you want to add a link, then click Insert -> Link or using shortcuts – CMD + K/CTRL + K. Personally, when I was clicking Insert from menu bar, my text was deselected, so shortcut solved the issue.
Extra Note: You can also link to other cells or sheet in a spreadsheet. Really cool feature.