"It was a great day for the club, but a sad day for the fans because of the result and us leaving Maine Road," said Keegan after the 1-0 home defeat to Southampton.
"The best thing about the club is out there, the fans, and it will be in the new stadium.
"We finished ninth so we have done okay. I think we have under-performed, but if you ask the fans I think they would probably be quite pleased.
"Maybe it is my job and the board's job to raise expectations. We have got to get away from 'We will lose today because we are Man City'. That hurts me more than anything.
"This club has got a losing mentality, it is us that causes that, players and management and we have got to put that right.
"We have a great new stadium and we have got a lot to look forward to."
SOUTHAMPTON MATCH REPORT