You could change the whole text by adding first parameter to your comment_form
function. According to the Codex, the code below might help:
$comments_args = array(
// change the must log in text and link url
'must_log_in'=> '<p class="must-log-in">' . sprintf( __( 'You must be <a href="https://wordpress.stackexchange.com/questions/131398/%s">logged in</a> to post a comment.' ), YOUR_CUSTOM_LOGIN_PAGE_URL ) . '</p>'
);
comment_form($comments_args);
Please change the ‘YOUR_CUSTOM_LOGIN_PAGE_URL’ accordingly.