If you want to open the link in a new background tab, hold ⌘ Cmd (Mac) or Ctrl (Windows) instead. If you want to open the link in a new foreground tab, hold both ⌘ Cmd+⇧ Shift or Ctrl+⇧ Shift (Windows) instead.
In Chrome, it resembles a blank box, and in Safari and Firefox it has a plus sign on it.