Yes, Alexa rank is important while creating a link or exchange a link from the website.
Alexa ranking of a website shows the popularity and the traffic of the website. The lower is the Alexa, higher is its traffic and so as the popularity.
For ex.: amazon.com (rank 14); weather.com (rank 64); cnn.com (rank 26); google.com (rank 2); Yahoo.com (rank 7); facebook.com(2).