I was sad & mad, because I use this feature of creating symlinks directly from nautilus contextual menu.
But I came to know that it isn't actually gone. It's just a preference away...
All you have to do is go into Nautilus Preferences > Behavior tab and mark the "Link Creation" option. Voilá.
Good linking!
Source: https://askubuntu.com/questions/843150/what-happened-to-the-create-link-feature-in-nautilus-in-ubuntu-16-10/843165#843165?newreg=ac543d681b9f496eb4ed49bc6bd563d9