Hi Jenia,
Take a look at the Community post Solved: Cannot create Application Links From Bamboo to Bitbucket Server / JIRA to see how one user resolved the issue.
If that does not help the next stop would be the Application Links Troubleshooting Guide. There is a checklist of 12 steps that you should take to determine the point of failure as well as some specific network and OAuth troubleshooting. Once you go through that article if you are still unable to determine the issue please provide a screenshot of the error you get as well as a snippet from the logs in both applications at the time you try to create the link and we'll go from there.
Cheers,
Branden
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