That is how Master Documents work.
A master document contains links to a set of related subdocuments. Use a master document to organize and maintain a long document by dividing it into smaller, more manageable subdocuments.
(my emphasis added)
It provides a way to combine and organize numerous documents into one large document. When you want yo view the linked document, you click the link.
I think you may be looking to link to other files, not necessarily use Master Document.