Keene was an avid golfer who competed in the 1897 U.S. Open and who made it to the quarterfinals in the 1898 U.S. Amateur. Although he played at a high level in a number of sports, he excelled at the game of polo. A 10-goal player, he was a member of the Rockaway Hunting Club in Lawrence, Nassau County, New York, today the oldest country club in the United States. With team captain Tommy Hitchcock, in 1886 he was part of the first U.S. international polo team that competed in the inaugural International Polo Cup matches against England. He was rated the best all-around polo player in the United States for eight consecutive years and won the Gold Medal in Polo at the 1900 Summer Olympics. Following its formation, he was inducted posthumously into the Museum of Polo and Hall of Fame in 1992.