There's actually some value in keeping wrong *answers* around, as long as they're *visibly wrong*. 

But comments are already a bit of a distraction - keeping worthless or outright *harmful* ones tacked onto a post is a luxury. 

So you have a few options: 

1. reply, noting the error (so the author can delete it or correct it).
2. flag it, noting the error (so a moderator can delete it, or the system itself if enough folks flag)
3. both 1 and 2

Note that up-votes counter flags to a certain degree (at least when it comes to automatic deletion). See also: https://meta.stackexchange.com/questions/17364/how-do-comment-voting-and-flagging-work