Not saying there aren't advantages, especially full hands, but...
If I'm in a "sketchy area", my keys are in my hand before I leave whatever building I am in. Also, the key fob button unlocks the door before I reach the car and there is also has a "panic" button on the fob to sound a very loud alarm. Also, if I am nervous/afraid of attack on the way to my car, my keys can become a somewhat defensive weapon when I interlace them between my fingers.