They are requesting a link because it helps them in the SERPs plain and simple. A link from your site with your affiliate code behind it doesn’t count since that is a link that only your site uses. Google ranks sites based on the exact URL that is in a link along with the anchor text to help define what the link means to Google. As was said, burrying a link deep within a links directory surely won’t leak many if any players, and the link you would be getting back is of very high qualtiy.