A combination of cost and battery life I'm sure.
For starters, keys need to be extremely durable as you're basically punching them with your fingers non-stop all day. Some people punch harder than others. Screens work best with some form of glass so this punching risks breaking that glass. Especially when it is as small as a key. That leads to a very expensive design to manufacture, to warranty, and to service.
Then you have the battery drain of the keys. Since they are now a screen they have to always be powered and will need to be constantly refreshed as all displays do (well except eInk, but that's not what anyone is talking about here).
Both of those alone will likely keep this from ever happening...