No. Just don’t click on them. Anything that you see as « embedded » from a link goes through Discord’s servers before the information grabbed for the embed is presented to you.
How do I report someone on discord?
The easiest way to report someone on Discord is to simply tell a moderator of the server that the inappropriate behavior occurred in. If you want to report something to Discord’s own Trust & Safety team, you’ll need to turn on the app’s Developer Mode.