Must permalinks always point to single post pages?

There are two hooks named 'pre_post_link' and 'post_link'. Their first argument – which you can change – is the permalink. So …

add_filter( 'pre_post_link', 'wpse_42406_change_permalink', 10, 2 );

function wpse_42406_change_permalink( $permalink, $post )
{
    // change the permalink, let it point to an archive etc.
    return $permalink;
}

… will change the output.

In your loop you probably use something like …

<li id="post-<?php the_ID(); ?>">

Your permalink could then point to the archive page of your choice plus #post-$post->ID. For example:

http://example.com/2012/04/#post-42