Right now you must use Acrobat or Indesign to integrate hiperlinks in the file. You can do the 0% opacity trick (putting a hiperlink in 0% opacity on top of the text you want to link) but it's not usable or efficient.
I have so many files that are 90% illustracions, so it's the best for me to use Illustrator, but I would love to include the links in the file, not having to edit it in other softwares afterwards...