When you are confused, the answer could be A, B, C even D.
But when you are baffled, the answer is neither A, B, C or even D.
They are very close in meaning, though.
Here are some examples:
1. "I'm confused. I thought we were meeting at 8:00 p.m. and not 9:00 p.m." (there was mention of a meeting at some specified time but it's unclear)
2. "I'm baffled. Where did you get the idea that we were going to meet at 8:00 p.m.?" (there was no mention of any such meeting)
Hope that helps.