Confusion may be a slightly different experience for different characters, depending on their personality or the situation -- some may experience confusion as a kind of blankness, a sudden stop of thoughts, while others may experience it as a rush of thoughts that contradict each other. Either way, you can communicate confusion by showing what the confused character is experiencing.
For example, for a situation with the nonplussed kind of confusion:
He told me he currently worked at NASA. I stopped with my drink lifted halfway to my mouth, unable to respond. He must have seen the confusion in my face because he laughed saying, "No, I suppose I never showed much interest in that sort of thing back in school, did I?"
The rushing thoughts kind of confusion might be something like this:
He told me he currently worked at NASA. How could that be? He hated science in school! I suppose people do change and it had been several years since our school days, but looking at Steve I just couldn't see it. He hadn't just hated science, he was bad at it, too. Even worse than I was, and I had barely made it through that class. Can people go through that big of a change? No, this had to be a joke. But he didn't look like he was joking. Maybe it was some kind of non-sciencey role, like scanning the ID badges of people going in and out or something? That seemed more likely. Yes, probably he was some kind of assistant or security guard or something. But that didn't look like the kind of suit jacket an assistant could afford, and the watch on his wrist screamed six-figure salary. Maybe I hadn't known Steve as well as I thought I did back then.