Add Link to PHP message

Add this Code in your function.php file

 function mito_login_message( $message ) {
        if ( empty($message) ){
            return "<p><a href="">hyperlink</a>  Please login to continue</strong></p>";
        } else {
            return $message;
        }
    }

add_filter( 'login_message', 'mito_login_message' );