If your keys get lost out in the city somewhere and they're unmarked, no one will have any way to know which house/car they go to, and your security is not really compromised. Any kind of marking or contact info on the keys puts you at greater risk. Still, a cell phone number is one of the best things to put on keys if you want them back. Try to do a reverse lookup on the internet to see if your name, address, or any other information comes up when your cell phone number is entered. If you do lose your keys and get a call, volunteer to drive over to where they are, or meet at a public place. While the chances are slim, someone could find the keys, copy them, call you, give them back, and then follow you home and/or get your license plate # & try to find out where you live that way. My keys are unmarked, so if they get lost I know they will never find their way back to me.
You should also have an extra set of keys stashed somewhere, so you can still get in your house if you lose your keys. Leaving them with a neighbor you trust might be a good idea, depending on how well you know and trust your neighbors. Don't ever stash a key in your yard, but stashing one in someone's yard a block or so away might be safe.
I keep my keys on to a chain attached to my belt loop and I never have to detach them. The chain is long enough to reach a car door or ignition, and my front door lock. The only way I can lose my keys is if I lose my pants, and that doesn't happen very often at all, 2 or three times a year, tops. FWIW, I keep the chain completely in my pocket, not hanging out as a fashion statement.
