The file:// protocol is not included in the sanitation filter whitelist referenced by gitlab in the documentation.

You could manually edit embedded/service/gitlab-rails/lib/gitlab/markdown.rb in your gitlab installation, add the protocol to the whitelist yourself and restart gitlab after that to apply the changes (just insert the line with the leading +):

  whitelist = HTML::Pipeline::SanitizationFilter::WHITELIST
  whitelist[:attributes][:all].push('class', 'id')
  whitelist[:elements].push('span')
+ whitelist[:protocols]['a']['href'] = ['file'].concat(whitelist[:protocols]['a']['href'])

  # Remove the rel attribute that the sanitize gem adds, and remove the
  # href attribute if it contains inline javascript

but this is probably not the best idea, because it will cause occasional headaches when upgrading the gitlab installation.

And the desired file:// links will still not open as expected without additional configuration steps or addon installations on the client side (see here).