At the moment, we are using the login form of WordPress, if you want to fix this option, you can custom this link in the action of the login form. 
You can use the following code in the functions.php file to replace the login page URL.

add_filter( 'site_url', 'my_url_modifier', 10, 4 );
function my_url_modifier( $url, $path, $scheme, $blog_id) {
    if($url=='http://mywebsite.com/wp-login.php?action=lostpassword')   
        return 'http://your_link..';
    else 
        return $url;
}