There are already two good answers. Let me add a few thoughts to fill in around the edges.
- Closing (or flagging) is focused on whether the question meets site criteria (e.g., on-topic, answerable, within the intended scope of a single question, etc.), rather than quality.
- Voting is focused on question quality and usefulness
The purpose of the site is to build a knowledge base of questions and answers that will benefit others. So to the extent that we can, it's desirable to improve questions if they aren't understandable.
- Comments are the tool to ask clarifying questions so the question's shortcomings can be addressed.
- Voting can provide an incentive if the OP isn't responsive to comments, or an alert to readers that there may be some ambiguity or other issues. But responsible voting includes retracting a downvote if the issues are fixed.
- When attempts to improve the question have been exhausted and you think the question is still unclear and/or generally of no value to anyone, voting is an appropriate way to express your opinion. An explanatory comment is another way, which adds more value. A vote with an accompanying comment provides the most value.
That said, we all approach questions with a particular mind set and knowledge. We may see things others have missed, see things from a different perspective, not be familiar with related facts that point to a specific answer, or our brain might not make a connection that upon clarification leads to a forehead smack.
Even bad questions can receive an upvote or two. However, when a question is heavily upvoted, that's a sign that a lot of people found it clear and valuable. Before jumping in with a downvote in those cases, it pays to take a step back and ask whether you might be missing something that others saw, and maybe post your observation in a comment and see if you get any feedback.
Also, with "doesn't make sense", keep a distinction between incomprehensible and misguided. If a question is incomprehensible, the appropriate action is to get it fixed so that it is understandable and answerable. If a question is misguided, that can point to the answer, which involves explaining why/how the OP is thinking about the problem incorrectly. In that case "doesn't make sense" can actually be a good question that, when properly answer, helps others clarify their thinking.