This is not the first time I hear a request for that feature.

See here my last answer:

Link to a URL for download and image instead of handle the files in the module:

I don’t have any idea at the moment how I can implement this feature without loosing the control over the security for the file.

Currently it is not possible that anybody can download a file without having the permission for the download (secure download),

If I have only a link to a file on another site, I loose all this control and everybody who has the direct link is able to download the file equal he has the permission or not.

I have made some thoughts in the meantime, and I think that I will implement this feature in the next version. Maybe with an additional setting so that you can enable/disable that feature.