You need to be using a client version that automatically creates links for the “notes:” protocol. R5, for instance, could only deal with “http:”. Try it manually, and if it still won’t work, you’ll need to use a different method (doclink or link hotspot).
The syntax works correctly for me. I seem to recall reading somewhere that it’s not only the version of Notes - you need to make some kind of registry change on your machine so that it knows how to translate the Notes:// protocol.
Based on this search, I’d say a lot of people have managed to get it to work to some degree: