Links clicked in office use "Safe Links" which will cross check a URL before opening it. We can block specific links or entire domains in the Tenant Allow/Block List in the Microsoft security center
To block a site, go to the security center at the link below. Click "Block", Enter the URL or domain, check "Never Expire", and click Add. This should take effect within seconds so anyone who clicks that link or a link in that domain from Office will have it blocked.
To remove a site from the block list, use the search in the top right, click the site, and hit Delete.
https://security.microsoft.com/tenantAllowBlockList?viewid=Url