If your boss is not receptive to negative feedback, you may have to work around that. Here are some ideas for that:
Could you make the decision instead?
If your boss' decisions primarily affect your KPIs, it might make sense to transfer decision authority to you. You might be able to sell this as "taking care of the details so he can focus on the strategic vision" or whatever it is he likes to do.
(Often visionary people are bad at details, so offering to take care of the details allows both of you to play on your strengths)
Could you give positive feedback instead?
If your boss is deciding between A and B, and A sucks, you could say that B is a great idea, and then proceed to list all the advantages that B has over A, rather than the disadvantages A has when compared to B.
Could you filter bad options before your boss sees them?
If your boss is routinely contemplating poor choices, the process that generates these choices might be at fault. Perhaps you can become part of that process, and ensure that better options are presented?
Could you give the negative feedback earlier, when options are more malleable?
The more time people have invested in an option, they less willing they are to drop it, and the more loudly you have to speak up to stop the disaster. If you catch your boss before the bad option has taken root, mild negative feedback can redirect initiatives that will be neigh impossible to redirect once they have gathered momentum and everyone who has associated himself with the initiative would lose face in admitting that the idea sucks after all.