In case you don’t see the "Reply" link under the comment you want to reply to, it means, that the author of the comment applied the "Turn off replies" effect which deprives you of the opportunity to reply to the comment. The icon of the "Turn off replies" effect looks like the following:
This effect can be applied by nobody but the author of the comment. This isn’t a permanent effect so you won’t be able to reply to that comment even after a certain time.
The information about how to apply this effect you can read here.