Contact him through Airbnb and let him know that as he has taken the key with him and hasn't responded to messages and calls to return it you will need to change the locks and charge him for the labour for the lock fitter and costs of new sets of keys @Wendy806
@Wendy806 Do as Helen suggested, and if he still doesn't respond, contact Airbnb again, through Twitter or through contacting them by message. If you were waiting for a return phone call, Airbnb is infamous for never calling back, even when assuring you they will.
And as Helen says, keep your contact with this guest through the Airbnb message stream so they have a record of the messages and no responses. Don't call or text this guest.