According to the deeplink documentation, check the installation header, you've to proxy the link:
Installation Proxy the /link path In production environments, where static content is served by an seperately configured webserver (such as IIS or Apache), the link/ path needs to be proxied to the Mendix Server as well (similar to the xas/ and ws/ paths). Forgetting to do so will result in 404. This step is not required when running the application from the Modeler or Eclipse, since all content will be served by the Mendix Server automatically.
nginx usually means you have to adjust your server's firewall to open up www.myapp.com/link/* forwarding.
(assuming you're on debian): What do /var/log/nginx/error.log and /var/log/nginx/access.log say?