I have seen quite a bunch of questions where users downvote and dont bother to leave comment. Should there be a penalty in such case? A simple down-vote doesn't suggest anything for the OP to be improved as well.
There have been a time when down-voting a question would cost to the down-voter a -1 reputation penalty, in the same way it happens with down-voting an answer.
It has been recently removed because users didn't down-vote bad questions. A similar penalty is not going to be added again.
If you are talking of penalties for who down-votes without leaving a comment, that is not going to be implemented, as voting is anonymous by design. It is so anonymous that not even moderators (who are trusted users) know who down-voted a question.
As per the down-vote not suggesting anything to the OP, that is only partially true: The tooltip for the down-vote button says, "This question does not show any research effort; it is unclear or not useful (click again to undo)." It doesn't specify what part is not clear, or why it is not useful, but that is something that can be also said from who didn't down-vote the question. That if who down-voted, down-voted a post that was an egregiously sloppy, no-effort-expended post, or an answer that was clearly and perhaps dangerously incorrect, which is how users should down-vote.
There are also cases where the users down-vote a question that is not egregiously sloppy, such as in the case of a user who asks the same question more than once, and the questions are continuously closed as duplicate. In such case, the user is down-voted to make her/him understand not to continue with that behavior. Fortunately, those cases are very limited, and in most of the cases, down-votes are reserved for very bad questions.