I thought this might be an interesting subject for conversation, inspired by the rationalist emphasis on the importance of noticing your confusion for figuring out important warning signs that could easily be overlooked.
I think it's best to try to answer the question as genuinely as possible. Sometimes, saying you're confused is implied criticism of others' behavior, but I think it's more important to notice those moments when things about the world genuinely don't add up.
As a simple example, I'm somewhat confused that the stock market has been going up. It's not all that confusing because bear market rallies are a thing, and many others are puzzled by this as well. But still, I must admit that I don't understand the mechanism behind it.