An informal version could be: "I don't get it." It is a little stronger in meaning, but you could also say: "I'm at a loss to understand (that)." Not an exact synonym, because it means very, very puzzled: "I'm flabbergasted!" (I just like the sound of that word! 😊)

I'm "perplexed" or "bamboozled"

Confused

Generally, a puzzle is a problem that needs to be solve. However, the expression "I am puzzled" can be said or created in a number way by changing the word puzzle. The word puzzle give an idea about a problem that makes a person not to understand something. Examples of constructing a sentence with a similar meaning include: I am confused, I am baffled & I am perplexed.

I'd say "I am confused."