According to airfare insight average seat cost per passenger mile, the EYW routes are much higher than the Southwest average. Airfare insight shows the average paid per passenger on a flight . . . so it makes even less sense why Southwest would pull out.
My only thought is that Delta and other majors make a ton of money on luggage fees. Key West consistently has overloaded planes because of the short runway and high temperatures. Maybe that factored into their decision?