"The best way to get people to commit to a club is to convince them that there isn't a better club out there for them," Keegan said in The Times.
"He's just signed a new contract, but if he's really homesick and wants to go, there isn't much we can do. All we will do is try to convince him that, if he leaves, he will miss out on something. Players are scared of jumping off a big ship and on to a smaller one.
"They hate the idea of missing out on something, but if at the end of the day he still says he doesn't want to be here - and he's not saying that at this stage - we will have to consider what to do in the summer.
"At the moment we are pretty open-minded. He said his family are in London and he wants to be closer to them, but it is our job to try to keep our best players."
While admitting it would be very difficult to retain an unsettled player, Keegan is also convinced N'Zogbia would find it difficult to land a move to a better club.
"I personally don't think he will leave for a better club if he does go. There might be some who are above us in the league at the moment, but there isn't one with the potential this club has.
"He's definitely a talent, he can go past people and he can excite the crowd, but he's by no means the finished article. Rest assured, we will do what we can."