In the Android App version 1.0.41 (and still current in 1.0.60), when you follow a link to a deleted comment — from your Feed, or from a comment or answer or question — the Android app will give you an error saying "Loading the question failed." It will let you retry (which will fail and re-open the same error dialog) or cancel, which will take you back to where you were before.
On the main site, usually you'll just be directed to the question page and you won't be forwarded to the deleted comment. At least loading the question will succeed.
The app should probably just inform us the comment's deleted, and give us the option to either return to where we were before, or to visit the question/answer the comment was on and view it anyway.