Update 2017-03-03: fixed in Android Studio 2.3 (build February 24, 2017)
Old information: I also had this small but annoying problem in Android Studio 2.1.2 and Intellij Idea 2016.1, as well as for previous versions on my Mac:

Interestingly, this only happens to find a method. For classes, it works correctly and immediately displays external documentation without prompts. That is, in the screenshot above there is an invitation with an additional link when calling an external document for the SetAction method, but everything is fine when the documentation is displayed for the Intent class
I contacted Jetbrains technical support and they confirmed this error. The guys at JetBrains are really awesome - it took about one day and they suggested I use the fixed version! Many thanks to the JetBrains team. A fixed version of EAP 162.917.19 can be downloaded here for preview:
IDEA 2016.2 EAP
This version of Intellij Idea creates the right links for everything. I hope that the fix will eventually be available in Android Studio.
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