McDonald joined Middlesbrough from Celtic in a £3.5million deal while Keane joined the Scottish side on-loan from Tottenham on Monday.
“The Robbie Keane move has taken me by surprise,” McDonald told the Daily Record.
“Robbie’s a great player and part of me thinks it would have been great to be at Celtic with him. Because of the type of person I am my first instinct is to think, ‘We could have had a great partnership’. I think like that because I’ve never ever doubted my ability.
“Then again, maybe the manager would see things differently. Let’s be honest, all these signings Celtic have made haven’t just been planned overnight. The club must have been working on them for a while, so my decision to leave has probably been vindicated by the news Robbie is on his way up the road. I’m doing what is best for my own career.”