We define a two-player N x N game called the 2-cycle game, that has a unique pure Nash equilibrium which is also the only correlated equilibrium of the game. In this game, every 1/poly(N)-approximate correlated equilibrium is concentrated on the pure Nash equilibrium. We show that the randomized communication complexity of finding any 1/poly(N)-approximate correlated equilibrium of the game is Omega(N). For small approximation values, our lower bound answers an open question of Babichenko and Rubinstein (STOC 2017).