Presumably because of this highly-voted response (40 upvotes) to the original graduation/design announcement on meta:
I do have some concerns about using the keys for badges - keys usually have something to do with security rather than "unlocking" a puzzle.
Jigsaw puzzle pieces, I think, would be a much better badge indicator as it's more intuitive to puzzling and less likely to be confused with some other type of site (lock-picking anyone?).
And the response from an SE designer:
I'm Paweł - designer at Stack Overflow helping Stephane (guy who designed this site) with killing some bugs. Anyway, puzzle seems like a better symbol indeed HOWEVER then one you proposed has very "heavy" shape with lots of details which won't look good on small area (yes, we are kinda limited with size). Nevertheless, I'm gonna update it to other puzzle shape and will test it live for next couple days. Then, we will decided if we want to keep that puzzle OR revert to key symbol.
Note that the post which proposed changing from a key to a puzzle piece still has a lot more upvotes than Solocutor's answer here saying the key was better.