It is already "possible" to do this!

Step 1

Go to the new Review interface for close votes.

Step 2

Click through the ≈ 60,100 questions (on SO) with close votes until you see the one you want to vote not to close.

Step 3

Click Do Not Close.

Step 4

Profit!

And...problem solved!

But seriously

The functionality already exists, but is hard to use. If you agree with a close vote, you can always cast your vote to close directly from the question. Why should it be harder if you disagree?