On Server, this is not possible out of the box.
Here, you either need the exact match - see https://marketplace.atlassian.com/apps/1215460/automation-for-jira-server?hosting=server&tab=overview - or you could check for a workflow app available on the Atlassian Marketplace (https://marketplace.atlassian.com/search?category=Workflow&product=jira) that is capable of linking issues via post function and add this one to 'Create' transition of your workflow of interest.
P.S. I'm part of the team behind the aforementioned app.
Hi @Siarhei Melnikau -- Welcome to the Atlassian Community!
The example rule you note is possible for Jira Server/Data Center version when you have the Pro version of automation for Jira:
The reason you need the Pro version is that the Link action is only in the paid version.
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