You have migrated your on premise SharePoint content to the cloud, on your old on premise SharePoint server you added a redirector that routes request to the corresponding location on the cloud.
User opens an Office document that contains hyperlinks to locations on your old on premise SharePoint server. When user CTRL + clicks on the hyperlink the Office sign-in window will appear, once filled out, the user will get an error that the link can not be opened.
"Unable to open http://.... Cannot download the information you requested."
Modify the redirector on your old SharePoint server to use smart links per this blog post:
A product change to address this issue is estimated to be in the July current channel release of Office 365.