You don't choose a target for Gimli, Mournful Avenger's last ability at the time it triggers. Rather, a second "reflexive" ability triggers when its last ability resolves for the third time in a turn. You may choose a target for that ability as it goes on the stack. Each player may respond to this triggered ability as normal.

Gimli, Mournful Avenger doesn't need to have been on the battlefield when creatures died under your control for the first ability to count them. For example, if two creatures you control die during combat on your turn and you cast Gimli, Mournful Avenger during your second main phase, it will have indestructible until end of turn.