Melt coconut oil in a large saucepan over medium heat. Add celery, zucchini, and radishes and fry for 5 minutes. Add broth and coconut milk; bring to a simmer over medium-high heat and cook, stirring occasionally, for 10 minutes. Add dried sage and cayenne and cook, stirring, for 3 minutes more.
Let soup cool slightly; puree in a blender (then rewarm on stove), or serve it chunky. Garnish each bowl with finely sliced fresh sage leaves, if desired.