I've got a 256Gb Corsair GTX drive that I bought this year. Metal case, and though smaller than the Kingston pictured, still not svelte. If I hung that GTX on a keyring I'd be replacing the ignition switch in my car within 12 months. That Kingston? Probably pull that key right out of the ignition.

As implied by a sibling comment, Kingston might have considered a keyring loop, and then practicality piped up and said "get real". It's a small version of a 3.5" enclosure, not a USB "key".

There is a musical instrument pick/plectrum that sells for $30 in a world where guitar picks are $1 or less. I have three of them, they're popular amongst mandolin players. The common complaint is that picks are easy to lose, and who wants to lose $30 in the couch cushions? My response to the possibility of losing a $1000 USB drive is the same as my response to the pick problem: treat it like the expensive item it is and don't lose it. Plenty of people own jewelry in the five figure range that can be smaller than this drive or an instrument pick, and they manage to not lose those.