The puzzle of the sieve? (6)
I believe the answer is:
riddle
This clue is a double definition.
'the puzzle' is the first definition.
(thesaurus)
'the sieve?' is the second definition.
(riddle is a kind of sieve)
'of' acts as a link.
(Other definitions for riddle that I've seen before include "Perforate with gunshot - poser" , "Question to test ingenuity, something puzzling" , "Run through" , "Puzzle or strainer" , "it's full of holes" .)