I'm confused.
I've not heard someone say "I'm confused" for a while now.
I find it to be a confrontational phrase and I dislike it. I intepret it as someone trying to make a point along the lines of "I'm smarter than you, and what you just said doesn't make any sense to me". Aware of the way it makes me feel when someone does say it, I try to make sure these words don't pass through my lips in conversation.
The next time someone tells me they are confused, I'll consider using one of the following responses:
X: "I'm confused"
Me: "I know."
X: "I'm confused"
Me: "I see. What part of the word "x" didn't you understand?"
X: "I'm confused"
Me: "Not for the first time..."
X: "I'm confused"
Me: "I've heard that about you"
X: "I'm confused"
Me: "So am I"
X: "I'm confused"
Me: "You know, I'm not sure this is the appropriate time to discuss personal issues."
Feel free to add your own...