To reproduce:
GridViewHyperlinkColumn col = new GridViewHyperlinkColumn();
col.FieldName = "Name";
col.HyperlinkOpenAction = HyperlinkOpenAction.DoubleClick;

Workaround:
Use the CellDoubleClick event:
void radGridView1_CellDoubleClick(object sender, GridViewCellEventArgs e)
{
    if (e.Column is GridViewHyperlinkColumn)
    {
        string hyperlink = e.Value.ToString();
    }
}