Putting things into context, the circuit in the picture is about Ethernet interface.
The component CL2 has a connection to Ethernet socket metal shell. Thus it must be the common mode capacitor between local groud and Ethernet ground.
Such a capacitor would typically be rated for maybe 1 to 2 kV and about 1 nF. The need for high voltage explains why the capacitor does not look like a standard SMD capacitor.
So, unless your multimeter can measure capacitors of roughly 1 nF in value, you won't get a reading. It might be blown but it would not prevent the device from working, it is an indication that if the capacitor is blown, there may have been a lightning strike and a lot more of the Ethernet interface has blown too.