There are probably a lot of different ways to say it, but the main word I think of to use is 이해 (understanding)
이해할 수 없어요 ... (-- 수 있다/없다 " can / can't ")
이해하지 못해요.. (-- 못 하다 unable to )
이해가 잘 안 돼요 ( -- this is more for, not understanding a situation...)
But I think the simplest way to express your confusion (anytime) is: 몰라요...! (I don't know!!)
Hope that helps!