Well, it turns out they don’t. Not in federal elections, at least.
This is an issue that needs to be addressed along with the rest of the democratic deficit in Canada. There is no formal way to make a statement by ruining a ballot in a federal election in Canada. They’re not counted as protest votes. Instead, “spoiled” ballots are considered to be mistakes — like if you make a mistake, they can mark it as “spoiled” and give you a replacement ballot to try again. Or if the ballot you receive is misprinted or blank, you can return it for a good ballot, and the bad one is marked as “spoiled”.
Ballots with deliberate protest messages are grouped with other ballots that do not count for any candidate. They are considered “rejected” ballots, which are counted along with mistakes and other invalid votes. Yes, they are counted, but with two caveats:
First, it is impossible to know how many of them were protests, since they are grouped with other bad ballots that were not protest votes.
Second, the number of rejected ballots is rarely reported, probably because it is not considered to be particularly meaningful. For example, the official “complete” results of the 2011 federal election do not list rejected ballots for any riding.
In contrast, some provinces allow people to “decline” to vote, which is counted as a separate category and is generally used as a protest. Looking at the 2014 Ontario election results (PDF file ahead), there were 29,937 declined ballots, less than half the total number of rejected (22,885) and unmarked (12,124) ballots.
Unfortunately, the Canada Elections Act does not recognize that same categories.
So no, despite what you’ve heard, you cannot make a statement by spoiling or even declining your ballot in a federal election. And staying away from the polls isn’t any better — that’s not counted either and it’s indistinguishable from apathy.
Long story short — just vote. Pick the best option you have, and vote. That’s the only way to be counted.