The problem of selecting the modulation and coding scheme (MCS) that maximizes the system throughput, known as link adaptation, has been investigated extensively, especially for IEEE 802.11 (WiFi) standards. Recently, deep learning has widely been adopted as an efficient solution to this problem. However, in failure cases, predicting a higher-rate MCS can result in a failed transmission. In this case, a retransmission is required, which largely degrades the system throughput. To address this issue, we model the adaptive modulation and coding (AMC) problem as a multi-label multi-class classification problem. The proposed modeling allows more control over what the model predicts in failure cases. We also design a simple, yet powerful, loss function to reduce the number of retransmissions due to higher-rate MCS classification errors. Since wireless channels change significantly due to the surrounding environment, a huge dataset has been generated to cover all possible propagation conditions. However, to reduce training complexity, we train the CNN model using part of the dataset. The effect of different subdataset selection criteria on the classification accuracy is studied. The proposed model adapts the IEEE 802.11ax communications standard in outdoor scenarios. The simulation results show the proposed loss function reduces up to 50% of retransmissions compared to traditional loss functions.