After few examples pointed before, how to make links and urls,
https://www.drupaldump.com/making-url-anchorfragment-and-making-url-que…
https://www.drupaldump.com/some-ways-make-links-drupal-8
https://www.drupaldump.com/how-create-urls-internal-route-or-external-u…
lets combine it all together and have a proper way how to use it, even with t function for translations.
use Drupal\Core\Link;
use Drupal\Core\Url;
$link = Link::fromTextAndUrl('This is an example link', Url::fromRoute('entity.node.canonical', ['node' => 11]));
$this->t('You should click this %link', ['%link' => $link->toString()])Also an important note about links is that links and URLs are considered value objects and therefore don't need to be injected. You must use the classes directly.