Keegan said: "Nicolas Anelka is an excellent player. He is enjoying his football and scoring goals and I believe he is happy here. He has never come and knocked on my door and said he doesn't like it.
"All the time we have to live with his past and the things that have happened to him. Dealing with it doesn't bother me - it is part of my job."
Keegan also has to deal with a team of underachievers who have taken City from a Champions League spot to the brink of a relegation fight.
"With the players I have here, I don't think it was foolish to say we could finish in the top six this season,'' he said.
"Maybe people might look back and say it now but there is still plenty of football to be played and a lot of points to be won.
"I don't think any of the players have let me down in terms of effort but some of them haven't reached the performance levels we know they are capable of."
There are rumours in some quarters that if the City boss cannot get his big names to reach those levels within the next two games at Leicester and against Blackburn then he might be out of a job.
"There is a massive incentive for us tomorrow," he said. "A win and a good cup run could kick-start our season.
"I remain optimistic and positive and I will continue to do so until the day someone taps me on the shoulder and tells me I have to go.
"But what we really need is a result. That will get people off our backs a little bit and allow us to do our jobs."