Nevzat,

Is the computer you're trying to do this on yours, and where you are using an account with admin privileges when you're trying to do it?

My only theory, and that's all it is, for why the New Shortcut option would not work from the Context Menu is if you do not have the necessary permissions to add one.  If it's a work computer, or you're using a standard account except when you do admin-focused tasks, that's a possible factor.
--

Brian - Windows 10, 64-Bit, Version 21H2, Build 19044  

The difference between a top-flight creative man and the hack is his ability to express powerful meanings indirectly.

         ~ Vance Packard