Android Studio doesn't ask me about target device

Please make sure you Stop the app first and then Run it again, then a prompt will appear asking for the target device.

I use macOS Sierra, I go through the following path to change settings if I face the problem you mentioned.

Run > Edit Configurations > app > Deployment Target Options.

Since Android Studio 3.5 you can choose deployment target from the drop-down menu in the toolbar. Big plus: you can run on multiple devices in a one-shot.