While the ability to link to footnotes would be helpful, being at the end of the post makes such notes relatively easy to find. (Returning to the place one was reading could still be a bit of a nuisance.)
However, for long answers, there may be cases where some content is not suitable for footnotes (e.g., it is properly inlined in later text or it has significant importance) but for which a simple statement like "(explained in detail later in this answer)" is somewhat less helpful.
Since good long answers are not common and the benefit would only apply to a subset of such answers, I suspect that this feature is not provided (and unlikely to be provided). (If such might be a worthwhile feature, perhaps it could be most easily supported by providing anchor names or ids for any header [somewhat like Wikipedia]. This would not provide a fully general and fine-grained internal linking mechanism, but it might be a good balancing of tradeoffs.)