We formally define a hyperlink classification problem in web search by classifying hyperlinks into three classes based on their roles: navigation, suggestion, and action. Real-world web graph datasets are generated for this task. We approach the hyperlink classification problem from a structured graph embedding perspective, and show that we can solve the problem by modifying the recently proposed knowledge graph embedding techniques. The key idea of our modification is to introduce a relation perturbation while the original knowledge graph embedding models only corrupt entities when generating negative triplets in training. To the best of our knowledge, this is the first study to apply the knowledge graph embedding idea to the hyperlink classification problem. We show that our model significantly outperforms the original knowledge graph embedding models in classifying hyperlinks on web graphs.