Sure, sometimes keygens are trojans as well, but those are covered under the heading "virus". Most anti-virus software also detects perfectly harmless keygens these days, supposedly to "protect" the user from "accidentally" generating a key and pirating software.
I use some keygens for old software that can't be bought any more. It would be lost to the world without those keygens. I even had keys for some of it, e.g. a Windows 98 serial that was stuck (with a non-removable sticker) to the side of an ancient PC case long ago sent to the dump, and which I now want to install in a VM to play some old games that don't work on Windows 7.
I don't want my AV software deleting those perfectly safe files, thanks. I'm already paranoid enough to run them in a disposable VM anyway.