Forums and blog comments are places for sharing views and information, not places for posting your link. Dropping links in forum posts or blog comments is likely to be regarded as Spamming, unless the link is relevant and adds real value to the discussion. Adding a link to every post you make will certainly be regarded as Spamming.
Even where sites allow links (such as signature links on this forum) they are likely to be marked as "nofollow". This tells the search engines to ignore them, and they will therefore do you no good as backlinks.
Does that explain it?