Peerio can optionally show you a preview of links you receive in Peerio messages. This feature works by contacting the server the URL points to. This server will know your IP address and could gain information about you, such as your approximate location, from the request sent by your device. This feature can be enabled only for contacts you've marked as favourites or completely disabled for maximum security.
You will be prompted to enable previews the first time you receive a URL in a message. To change the setting later, look for it under the Preferences section in Peerio's settings.