If you are using C#, you would need something like the .NET Extension Pack (or at least the C# extension) installed for that.

For testing, I opened a .NET project with VSCode:

Without any extension installed, the editor wouldn't have configured the shortcut and neither would understand C# semantics to navigate to definitions.

As soon as I installed the said extension pack, I was able to use the shortcut "ctrl + click" (configured by default in the extension) over a class identifier to navigate to its definition.