That's certainly possible, but if malware were able to get installed despite my other protections, then I probably have much larger issues. And the keylogger would have to phone home with the data, which is unlikely (but not impossible) to happen without raising some alarms.
So I'm more worried about sharing data with the password management company systems themselves. If there's no real reason to send data over the net, then I don't want to send data over the net. The smaller the attack surface, the better.
It's just my personal policy. In reality, I don't consider either keyloggers or password management company computers to be huge enough risks that I lose sleep over them. Plus, I don't want to become reliant on a particular piece of software to do important things -- typing my password by hand means that I'll have the most common passwords memorized, so if something goes wrong that prevents the use of the password manager, I'm not locked out of anything.