Faye was signed by Keegan's predecessor Sam Allardyce from Bolton, but has been recently linked with a switch to Ewood Park.
However, with Mark Hughes taking up the reigns at Eastlands, it could spell an end to Rovers' interest in the Senegalese international.
Keegan has praised the defender, and hailed him as a calming influence on Steven Taylor at the heart of the Magpies' back line.
He said: "I think the link-up has been very, very good. And I think Faye's been a calming influence on Steven (Taylor).
"In fact, if you look back to the Sunderland game there was a danger that, because Steven was a local, he would get caught up in the excitement of it too much.
"But credit to him, I though he gave a very mature display, and I think Faye played his part in that."