First off, if it's not a good question, it should be closed to prevent poor quality answers being posted to it. It's important to keep in mind, at the end of the day, what closing is there for. It's not to chastise users asking a question, it's to prevent answers to questions that don't belong here. That someone hasn't taken the time to explain to the author why a question doesn't belong doesn't mean the question should be answered until such explanation is given.
Next, there are plenty of cases where no comment is needed; the close vote text itself, the resources they often link to, and the further information in the help center, the FAQ, and throughout the rest of the site/meta (and internet at large) will, in a fair number of cases, be enough.
There are however cases where the close reason is a bit general, and a message personalized to the specific question can be helpful. We do want to encourage comments in such cases, but we want to do so without preventing the question from being closed in the process.
I'd also like to point out that I find a rather large percentage of closed questions that I come across do have comments indicating the problem, especially in cases where it's not immediately clear why it might not be an appropriate question, so before looking to technical solutions first verify that there really is a problem here.
Next, there are automatic flags that are generated when questions are closed without any comments; this provides a mechanism for high rep users/mods to evaluate if specialized guidance is needed in the event that the users that closed the question didn't provide any.
Many very poor questions also aren't asked by people with any willingness to spend time and effort improving their questions or even bothering to figure out why it isn't a good question. In cases where an author has indicated confusion as to why a question was or is being closed, and is seeking further clarification as to what they need to improve, users virtually always respond with what can be done. We love to see users willing to improve their own content (because it's sadly rather rare).
There are also questions that simply are past salvation. They are either so inherently against the design of the site, are so incomprehensible, or are lacking so much in detail that it's simply not possible to explain to a user how to fix the question into one that could be reopened.
Your proposal is also open to abuse. You'll see lots of people that will just post garbage comments that don't really say anything just to get past the check, or use one of the close reasons that doesn't have a check even though it doesn't apply. Both of those (especially the latter) can be very confusing/harmful.