Enterprise does this -- and I asked one of their reps some time ago about this. He told me the reason was that, for legal reasons, Enterprise doesn't keep a key for the cars while they're rented out. This assures their customers that they have all the keys.

That being said, the giant wad of keys is annoying to me. At the suggestion of an Enterprise rep, I cut the wire holding the keys together and returned both separately at the end of the rental. He said they had plenty of wires and crimpers to put the key set back together again.