Data scientists often formulate predictive modeling tasks involving fuzzy, hard-to-define concepts, such as the "authenticity" of student writing or the "healthcare need" of a patient. Yet the process by which data scientists translate fuzzy concepts into a concrete, proxy target variable remains poorly understood. We interview fifteen data scientists in education (N=8) and healthcare (N=7) to understand how they construct target variables for predictive modeling tasks. Our findings suggest that data scientists construct target variables through a bricolage process, involving iterative negotiation between high-level measurement objectives and low-level practical constraints. Data scientists attempt to satisfy five major criteria for a target variable through bricolage: validity, simplicity, predictability, portability, and resource requirements. To achieve this, data scientists adaptively use problem (re)formulation strategies, such as swapping out one candidate target variable for another when the first fails to meet certain criteria (e.g., predictability), or composing multiple outcomes into a single target variable to capture a more holistic set of modeling objectives. Based on our findings, we present opportunities for future HCI, CSCW, and ML research to better support the art and science of target variable construction.