For the most popular video services, you can just paste the link on a line by itself in the post editor: https://en.support.wordpress.com/videos/
For mp4 files hosted offsite on unsupported sites, you can try to use a service like this (http://embed.ly/) but I don’t think it will work well. More likely, you’ll have to sign up for one of WordPress.com’s premium services: https://en.support.wordpress.com/videopress/