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'.
What does 'saknar' mean in regards to 'to miss', does it mean emotionally like 'I miss seeing my friends' or does it mean physically..'I missed the bus', or both?
Only the first, the other would be missa. There is also the sense of ”I’m missing my keys” which is förlora or tappa.
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?"
Just a slight correction: The last one would have to be "is anybody missing their keys" in order for it to mean having misplaced/lost them. "Anybody misses their keys" means emotionally missing them.
Thanks for the comment!