This is only funny in English, because saknar does not mean miss in that sense (that would be missar).
A Swedish joke in a similar vein is to tell someone they should take a shooting class in order to träffa nya vänner – which could mean either 'meet new friends' or 'hit new friends'.
As for the missing keys example you would have to say one of the following.
"Jag har tappat/förlorat/förlagt mina nycklar." - "I have lost my keys."
"Jag kan inte hitta mina nycklar." - "I can't find my keys."
"Jag hittar inte mina nycklar." - "I'm not finding my keys."
It is however also possible to use "saknar" for missing things as well, but more common in questions like if you found some keys:
"Saknar någon sina nycklar?" - "Does anybody miss their keys?"