i play Vex legend, and i hold, i choose to not trigger legend, is this a chain ?

No — if you decline the "may," nothing stays on the chain and there's nothing to react to.

Vex's Gloomist legend ability reads "When you or an ally hold, you may exhaust me to draw 1." That's an optional triggered ability, so it is placed on the chain as a Pending Item when you hold — but the "may" choice happens during finalization, and if you decline, the ability is removed from the chain and treated as never having triggered (Rule 383.3.a.2). Since opponents only gain priority to play Reactions once pending items have been finalized, they never get a window to respond to it. The hold itself doesn't create a chain; only triggers do.

One caveat: if any other hold abilities triggered at that battlefield (your units' or other players'), those still go on the chain normally, and reactions can be played to them.