I recently upgraded from Mavericks to Yosemite, and encountered this same problem, though with a theme rather than with presentation file. I found this thread from a Google search, looking for a solution to the theme issue. I'm posting my solution to this related problem here, in case others encounter it.
When upgrading Keynote (via the App Store), it found my old themes and entered them into the new Keynote Theme Chooser. However, it could not open them; if I tried to do so, I got the "Save in Keynote '09" dialog mentioned in this thread.
In my case, I still had Keynote '09 on my machine. So I launched it, opened my old themes, and then saved them as themes again (with new names).
Returning to Keynote 6.5.3, the newly-saved themes were not available. Evidently, the themes are stored in a different location than in Keynote '09, so it couldn't find the newly-saved themes.
The solution was to find the folder where Keynote '09 stored the newly-saved themes:
/Users/USERNAME/Library/Application Support/iWork/Keynote/Themes
I used Keynote 6.5 to open each of the theme files there. Doing so leads to a dialog asking whether to add the theme to the Theme Chooser. Doing that works without incident, and I now have my old themes in the new Keynote. Fortunately, I didn't have too many to convert.
-Tom