Click on the image to select it. In the Side panel, select the Image tab, and beneath File Info, click and drag, then drop that image icon either to your Desktop or a folder in an open Finder Window.
For objects that you have created that are not images, all you can do is select and copy to the clipboard, then launch Apple's Preview and select File menu > New from clipboard. That gets you a 72-dpi image that you can then either save or export to another format. If you need higher resolution, use an external graphics tool that lets you create vector artwork and drop that into Keynote.
Keynote is not a Powerpoint clone, so the first paragraph is your only hope of saving the image in its original state and resolution.