Add is-link attribute to know if a menu item should not be stopped

app/assets/javascripts/gl_dropdown.js.coffee

@@ -247,7 +247,7 @@ class GitLabDropdown
     if @options.multiSelect
       $target = $(e.target)
 
-      if not $target.hasClass('dropdown-menu-close') and not $target.hasClass('dropdown-menu-close-icon') and ($target.attr('href') is '#')
+      if not $target.hasClass('dropdown-menu-close') and not $target.hasClass('dropdown-menu-close-icon') and not $target.data('is-link')
         e.stopPropagation()
         return false
       else

app/views/shared/issuable/_sidebar.html.haml

@@ -113,7 +113,7 @@
                             %a.dropdown-toggle-page{href: "#"}
                               Create new
                         %li
-                          = link_to namespace_project_labels_path(@project.namespace, @project) do
+                          = link_to namespace_project_labels_path(@project.namespace, @project), :"data-is-link" => true do
                             - if can? current_user, :admin_label, @project
                               Manage labels
                             - else