No. If the site is not owned by your agency, it is not your responsibility. However, if the document to which you are linking is essential to doing business with your agency, e.g., a form, then the inaccessible document would create a barrier to interaction with your agency. You may then need to create an accessible equivalent on your site as an alternative to that provided by the other agency. Another option would be to work with the other agency to make that form on their site accessible.