AI allows custom events. We don't use AI directly but we use Google Analytics and we have the same requirement. What you do is have your link call a javascript function in your code that records the event in AI (from the client side) and then redirect. This doesn't change the link, it just changes it to call JS first.
If you need to do this for a lot of links (or all of them) then I would recommend you create a generally reusable function that accepts the URL (and possibly additional data if you need more info) and generates the event followed by the redirect. Then either update all your links to call the helper function (if there are a couple) or use jQuery (or equivalent) to inject the call into your links after the document loads.