Sadly, it really doesn't work that easily. The post might be viewed but usually no one clicks to go anywhere else. Especially as Instagram doesn't offer options to list links other than the one you chose to put under your bio.
One suggestion I came across was to think of Instagram as a place where I can offer quick, short, and to-the-point type of information. Examples might be to give a tip about something, offer inspiration, or even make the reader laugh. And then at the end of the caption, if I so choose, I can still ask for the click to go to my website or blog.
My hope is that I can build a following that will love to click away and come to my blog (but I am going to have to work up to that). In the meantime, I will pay more attention to my "posts" so that hopefully my viewers will feel they were engaged with a thought for the day... or learn something new... or even possibly see a sneak peak of my newest character without having to feel they have only half of the story.