Leaving a helpful comment whenever a post can be (or needs to be) improved is always recommended. But as a [feature-request]… requiring a comment on down-vote would likely be declined.
There are some pretty compelling reasons to decline compulsory comments — Consider that down-voting is just as important a function as up-voting, so raising the bar of effort needed to express disagreement would only mean less people would likely bother with that activity (i.e. it would happen disproportionately less). Another reason is that voting is supposed to be anonymous (although there have been a few suggestions to allow an anonymous comments to accompany down-voting). I'm also of the opinion that down-voting shouldn't become a "suspect activity" that requires a user to justify their actions, anymore so than somebody has to justify their up-vote if I disagree that the post actually is helpful.
But as a matter of good community practice, I agree with you; if the post needs help, a down-vote should generally be accompanied by a constructive comment. I just wouldn't require it.