Williams, who is playing in her last competition before the Rio Olympics, lost seven straight games, before holding serve in the third game of the second set.
The 36-year-old rallied to restore parity in the match. However, Keys 12th ace of the match sent the veteran packing.
Venus won her first match, since losing to Konta on Sunday. Against Keys, she struggled with her serve.
Her first serve was definitely slower than normal,” Keys said. ”But it was funny, her second serve was a lot slower, but because of the court it was bouncing a lot higher than normal. So while her first serve was a little easier to return, her second serve was really tough.