"Every key opens something somewhere" says the master thief Garrett. Keys are an essential part of nearly every TDP/TG and T2 mission. If one stumbles upon a locked door or chest, he can either try to pick the lock or find the key. Some door however won't allow lock picking and the only way to open them would be to find the proper key. A critical moment in this scenario is the proper key. There are many keys in the Thief missions and few are labeled.
In The Sword, there is a blue key on the floor of Constantine's bedroom. This key opens nothing, becoming "The Key of Mystery" to fans. The key was removed in TG, further evidence that it was left there by mistake. A similar grey key can be found in a tomb at the Wayside cemetery in the T2 mission "Trace the Courier".