Punting has risks. Don't take the ones you don't want to take for sure. Loosing your keys at a party could indeed happen. (Here comes SD sarcasm. Look away if you want only good SD ....)
I note, though, that after 1,053,370 posts on UKP, this has not been mentioned. Poor ratio, no OWO, bad attitude, poor value, fat munters have all been mentioned. And lots of various crimes. Perhaps this is next, I don't know.
The benchmark party TPC has no lockers. They just have a box. But it is not fool proof. It is just a box - the first guy to leave can...nevermind it is scaring me. Hmm, I was at Fuckclub in a hotel room. A hotel room with No Lockers, OMG. What quality hotel room has no lockers for 8 guys? LeJeu Escorts has a locker room - but thinking some more it is just hooks and now that I think about it, no actual combination locks - shit any of the guys or girls could go in there. How can they call that a locker room, am I right? Amazing that I still have my car after the risks I took.
If you are most worried about your keys, I suspect parties are not for you.
To be fair I think Anni Porsche in Germany had lockers, I think modelled on the FKKs. Maybe David G. will know one with lockers in the UK.