Create a reference between cells in different workbooks in Excel 365

[mavbj]

I am trying to create a reference between cells in different workbooks in Excel 365. I have read the help article on this (https://support.microsoft.com/en-us/office/create-an-external-reference-link-to-a-cell-range-in-anot...), referring to the Web section (not the Windows) one. However when I come to step 5 (Select the cell where you want to place the linked data, then go to Home > Clipboard > Paste > Paste Link.) the paste link option is not available. Can you tell me what I am missing?

The documents are Saved on Dropbox and are open in the same Chrome window.

[#2]

@mavbj 

My guess it works with SharePoint/OneDrive only. Will try to check.

[#3]

@mavbj 

Confirmed, it works only with Office 365 host. i.e. OneDrive or SharePoint.