By default, WordPress links images to themselves. A user sees that the image is a link, clicks it and they are then taken to a page of just the image. Then they click ‘back’ in their browser or move on to another site.
You could manually remove the link, but that is a pain. Plus, when handing sites over to clients they shouldn’t have to remember to remove it to have a great functioning site.
This plugin is available for download to be used on your WordPress self-hosted installation.