If you save PowerPoint as PDF using PowerPoint application itself, the hyperlinks will be preserved. I tried and succeed. You can go to File > Export. Then in the pop up window, choose PDF as export format. You can have a try.
Here I export PowerPoint as PDF. And it turns out I can download it as an open-source format too. If you use the application you can do that too. You might like this page, which provides more details and pictures about the PDF export process.