I once gave keys to my Klefki. It proceeded to kick me out of my home, steal my car, and took the kids... or was that Karen?
I just realized I never answered the question myself. If I have a way of always keeping that Klefki with me, and if it was okay with it of course, I'd certainly trust it.
I would most definitely trust Klefki with my keys, if I was friends with the Klefki (if I wasn't friends with it, it would probably run off with them). Klefki defends their keys pretty fiercely, so they're not about to get stolen. And they probably also won't get lost or misplaced, as keys frequently do when left on their own.