I'm pretty sure this is not a bug. The way I understand it (not to say I'm right, this is just how I understand it), the text needs to be selectable to be clickable (this is how it worked in the old Flash Player TextField class as well).
So, your workaround would be to use a RichEditableText control instead, and just select the Boolean editable property to false (so it is still selectable, just not editable).
<s:RichEditableText editable="false"> <s:p><s:a href="http://www.google.com" target="_blank" color="#0066cc">Click me</s:a></s:p> </s:RichEditableText>
Thanks for the workaround, it works. But I believe if RichText allows a link in the text, it should be clickable. The whole selectable thing, even with <Text> is just not adequeate. I don't won't the user to be able to select text (and have the cursor change to an text position cursor) but still allow them to click on a link