After some research I have found a helpful post which gives me an answer. Basically, to fix the issue, a Details Link is needed to be specified. Edit that KPI list item, a collapsed section “Details Link” can be located near the bottom of the edit screen. Specify details page to go to when the KPI list item link is being clicked.
I have also noticed that this issue seem to be affecting the KPI list item that is linking to a SharePoint list. The details link does not need to be specified for KPI list item that is linked to an Excel spreadsheet or manually entered.