Wouldn't "O macaco tem as chaves" be a much more straight forward way to say this. Also, I can think of a valid context for the phrase "The monkey is with the keys" such as a toy monkey and toy keys. How would you say that?
BUT--if there's a giant pen around, then saying you're with the pen might be telling somewhere where you are (via phone) so they can find you. Is this just how it's said in portuguese though? "is with" always means "has"?