The potential move to the Emirates Stadium has come as a surprise to many, with Vardy very much the opposite to the type of player the club have targeted in the past.
It is also a surprise given that all indications had been Vardy would be staying at the King Power Stadium when he signed an improved deal earlier this past season.
And commenting on Twitter, Keys says that should the move happen, it proves that a player signing a new contract is not something to be celebrated.
If Vardy signs for Arsenal please let no club agent or player con us again that signing a new contract is something to celebrate. It isn't.— Richard Keys (@richardajkeys) June 5, 2016
Keys certainly has a point about contracts, with them appearing to have little power in the modern game when it comes to keeping hold of players.
Should Vardy move, it will be interesting to see if any other players who signed new deals recently end up making exits, such as Dimitri Payet at West Ham United.