Chicago Community Kollel reports that
if the key serves a purpose it is considered “clothing” eg where “pin
of a belt buckle” is replaced “with a key”. But “If one is wearing a
belt already, the “key belt” is no longer serving a function and
should not be worn.
Another method used to transport a key on Shabbos is to use the key as
part of a tie clip. However, this is only permissible if it is serving
the function of holding the tie in place. If one’s sweater or vest is
already holding the tie in place, the key tie clip is not serving any
function and cannot be worn.
However, if the key tie clip is made of gold or silver it may be
considered a tachshit (adornment) and is subject to the rules
mentioned above concerning a pin⁄brooch”
(that is, in short, that you would wear it for decoration on a weekday too.)
In a question to Revach, the questioner quotes from a teshuvah from Reb Moshe Feinstein to the effect that one cannot use a tie-belt to keep ones shirt or tie in place (because one would not do it on a weekday).
In summary, if a key is part of a belt that serves a useful function, it has the halakhic definition of “clothing”. If it is genuinely decorative, it is an adornment and can be worn on Shabbos.
But I need help to understand the story about Rabbi Moshe Feinstein, where it is reported that Reb Moshe showed his "tie clip" key to a student. “It was a simple, non-ornamented key with a tie clip attached to its back.”