Hi,
It used to be a feature in iChat.
However AIM chats in particular have been prone in the past to malicious coding in the URL behind the text that you see.
The keystrokes used to be CMD + K but this no longer works and does not show in the Edit Menu (Only Clear Transcript does with a Modifier key - ALT + CMD + K).
You can add Keystrokes in System Preferences > Keyboard > Shortcuts ONLY IF the item exists in a Menu but has no keystrokes listed.

9:29 p.m. Tuesday; August 25, 2015
iMac 2.5Ghz i5 2011 (Mavericks 10.9)
G4/1GhzDual MDD (Leopard 10.5.8)
MacBookPro 2Gb (Snow Leopard 10.6.8)
Mac OS X (10.6.8),
Couple of iPhones and an iPad