My wife used to order large orders of custom logo'd items for a past job, cheap pens were roughly $0.10. A cursory search from hotel suppliers online show keys are under $0.15 each so even if people kept the keys and never returned them, keeping a pen is OK but a key considered stealing?

FWIW the nicer pens at some of our places can be a pretty penny $$ wise!

I don't take pens and supply airplanes anymore because I was noticing most guys getting in and immediately throwing it out or if it had a cap they'd take the pen and keep it.