These days we assume people have a blog, not everyone does however. Or, some might not want to leave a link to their blog for whatever reason. (For instance, someone writing adult content might not want to have that link represent them when they are just sharing general information with others).
If you are leaving comments on blogs you could always add a link to something else, not a blog. How about a profile on a site where you use the forum, or a dating site? If you have Twitter or another social media site add that as your link/ website. You just need something that gives people a place to find you and give you some feedback too. Even if it’s just to thank you for the comment.
Also, should you later want to link a blog to yourself you will be known by at least one link where people have followed you in the past.