The Baggies' assistant coach highlighted the cup successes of Swansea and Wigan last season as West Brom's motivation to perform well this time around.
On Wednesday, the Baggies welcome Arsenal to the Hawthorns for a Capital One Cup tie, with the hosts hoping to improve on last season's display when they were knocked out in round three.
They also departed the FA Cup early on and Keen said: "A cup run would be fantastic.
"Ask the Swansea supporters or the Wigan supporters. Certainly getting anywhere near the final makes it really exciting.
"Losing to QPR last season in the third round of the FA Cup was really disappointing and we want to have a real crack at it.
"Supporters want us to play in semi-finals and go to Wembley and the players want to be remembered for winning things."
As for Wednesday's match against the Gunners, Keen added: "Arsenal are under a bit of pressure because they've not won a major trophy for a while.
"I think it's a good draw for us because the crowd will get behind us. I like the game."