WordPress always uses the full URL when it inserts a link. There are a number of reasons for this, and they are all good reasons.
You can add relative URLs yourself by simply typing your own links and omitting the domain portion of the link.
As I said, though, this is not the best practice to develop. it creates a lot of potential for ambiguity and inefficiency.
Here are a couple of links for reasons to not do that and just use the tools WordPress offers you instead.