To determine the points at which the function $f(x) = \max \{-|x|, -\sqrt{1-x^2}\}$ is not differentiable, we need to analyze each component of this maximum function within its domain $(-1, 1)$.
Based on the analysis, the set $K$ of points where $f(x)$ is not differentiable includes $x = 0$, $x = \frac{1}{\sqrt{2}}$, and $x = -\frac{1}{\sqrt{2}}$.
Thus, $K$ has exactly three elements, which confirms the correct answer: Three elements.