When I read your requirements correctly, a combination of two Firefox addons could do the job:
Markdown Editor allows you to open/create, edit, and save Markdown documents – using a syntax you're already familiar with from Stack Exchange. This would include e.g. nested lists and hyperlinks:
Markdown Editor (source: Mozilla.org; click images for larger variants)
As the second screenshot shows, the addon's split view feature would allow you to "click" those links. To make "capturing" links easier, I'd recommend a second addon:
CoLT (short for "Copy Link Text") makes it easy to copy either a link's text, or both the link text and its URL in a format you specify. This non-invasive extension simply appears as context menu items when you right-click a link. Fully customizable!
CoLT (source: Mozilla.org; click images for larger variants)
I use CoLT myself for years already – and I use it a lot in a similar way as I'm suggesting here: to insert links into Markdown documents (only that most of those Markdown "documents" are answers on SE sites), so I can at least vouch for this part.
As akavel pointed out in the
comments, there's also Easy
which somewhat acts like "CoLT on steroids" (much more configurable
and feature rich). Make your own choice here :) For example, with Easy
Copy you can configure to get a selected fragment of text from a
website into clipboard too, using the following snippet:
* [%page_title%](%page_url%) (%date%)
Now let's see how my combination matches your requirements:
- Must be offline (does not store bookmarks "in the cloud"): Check.
- Must handle thousands of bookmarks (acceptable limit is about 5000): you didn't specify across how many documents they can be split, so: Yes, at least when spread about several documents :) Not sure if the editor has a limit – and if, where it lies.
- Gratis or very low cost: Gratis, but donations accepted (both addons)
- Windows compatible: I cannot test that currently – but at least for CoLT the answer is a definitive yes (have used it on Windows already when at my customers' places)
- The functionality of a bookmark must include storing a URL that, when clicked, opens a web site: Yupp, see "split view".
Conclusion: If it's acceptable to use two addons to accomplish the task, these two should do. If not, CoLT could be substituted by (Easy Copy and/or) additional handiwork :)