I was talking about clicking on a link from a desktop browser. No warning at all.
...and on mobile it is beyond sensible to make a warning when leaving to view external links: mobile apps and mobile browsers do do not have the capability to show the exact url you are about to open (in desktop you call hover over a link), which can lead to all sorts of bad things, first of which is spoofing your ip address.
Hell, even we in our open source xmpp clients show a mandatory warning with full URL you are about to open, so you know where you will land. This is a safety feature, not malice! (I'd actually add it to desktop web version of Twitter too)