Blood Curdle targets only one creature: the one that will be destroyed. You choose which creature to put a menace counter on after the target creature has been destroyed.

If a creature you control was exiled until the creature that was destroyed left the battlefield, the exiled creature returns in time to receive the counter.

If the target creature is an illegal target by the time Blood Curdle tries to resolve, the spell won’t resolve. You won’t put a menace counter on any creature. If the target is legal but not destroyed (most likely because it has indestructible), you do put a menace counter on a creature you control.