Unfortunately, you can't. It uses the web browser to activate the Teams app on the user's computer. More on reddit.com

MC669480 - (Updated) Web links from Microsoft Teams chats to open in Microsoft Edge; Teams chat will open side-by-side with link More on reddit.com

You’re right: when sharing a link to a file in Teams, it’s linking to the file, which lives in SharePoint, not Teams. There’s no direct-linking option to open the file in Teams—it’ll always open in Office Online. Ive never had an issue with this though because it’s kind of moot given some of the other features of Teams. It’s really easy to start a conversation on the file and @-mention the person(s) you’re sharing to. Presumably, if you’re sharing the file with them, you want them to be part of the Team too (or they already are). I find that @-mention (and the resulting conversation on the file) more than meets my needs. Try clicking a Word doc in the Files tab of any Team and you’ll see in the top-right there’s an option to Start Conversation. The other option is to start a conversation in the Channel where the file is, clicking the paper clip in the message menu, and linking to the file. It calls it out in the conversation with a big obvious link. It’s a separate conversation than the one I mention above. You can link to a file like this as often as you’d like. It just gets more complicated if you’re referencing a file in a different Channel or Team (where you may have to upload a copy of the file to provide access, which could become a permissions nightmare). There are some other tips and tricks I’ve put together that might help out. Otherwise, I guess you could send a link to the Channel from the Channel menu? Still doesn’t get you right to the file though. Also, look into the OneDrive sync client. It lets you keep local copies of your SP/Teams files on you device, which can help people understand the folder structure so this may not be an issue anymore. Things get more messy if you’re actually sharing the file with someone (i.e., granting access to the file) because then you’re breaking permissions of the SP site without doing the same in Teams. Copying a link and sending to someone who already has access isn’t the same as sharing, so I just wanted to clear that up too. If this is the scenario you’re in, we’ll need to think a bit more about the predicament. More on reddit.com

System settings -> Apps -> Default Apps – scroll down to the bottom - Click on Set defaults by app, and scroll down to Teams, change or delete it. More on reddit.com