I've had this issue since I've been running keyclone. First off, how do you terminate the program? If you just hit "x" on the application's window, you'll probably find that it doesn't terminate the application completely and it stays on the system tray.

A better way of terminating the program would be to actually right-click on the keyclone icon on the system tray and select exit/quit (don't remember the exact command of the top of my head). I found that exiting keyclone this way is "cleaner."