What should I do about employees that challenge my strategy, as CEO?

it shows a good sign of both the company and its workforce. In a sense that your company allows employees opinion, suggestions and criticism  into consideration. And also the employees are of high caliber that they question and challenge the company strategy. 

Regarding dealing with those who are challenging, the best way is to educate them about the strategy. The advantages and disadvantages, its outcome and other factors. May be they are ignorant on that particular subject. In this way you might able to convince them or at least their stand will change once you approach and explain the reason for following that particular strategy.