You should do this homework before discussing the matter with your boss. If, by some remarkable occurrence the boss deducted taxes on non-taxable items, e.g. moving expenses, then it is perfectly reasonable to raise the issue. If all the elements of the bonus were legitimately taxable, the best you can possibly do is think about the future. If your company offers annual bonuses, or when your compensation comes up for review, that could be a good time to have a 'laundry list' of non-taxable items that you would like included in your compensation package. Such issues may be a corner office, a parking space, flexible time so you can tailor your work schedule to other factors in your life, office equipment or supplies you can use at home for the benefit of the company, or whatever else you can bring to the discussion.
Taxes are inevitable.
The bad news is we have to pay taxes. The good news is that taxes are on money that has entered our control, for however brief a period. If your rights were not violated, you have nothing to complain about. Good luck, and may your future compensation package be favorably treated by the taxing authorities. Good luck with the process.