Really sorry to hear. It's hard to say not knowing specifics (incl. which office) and what your actual performance was like. However, it sounds like you are looking for some "answers" and so a few speculations having conducted 100+ final round McKinsey interviews.
My guess would be that you were a "calibration case" where you were on the fence and got calibrated down to a 'turn down'. This could be due to a number of factors including overall candidate scores being high on average, target headcount being reduced, lack of clear 'spikes' where you were a strong candidate overall but there was no read that was 'distinctive', etc.
I've not heard of "keep in touch" program but I'm assuming they mean a Turn Down See Later case which means they may follow up in the future for you to re-apply with an expedited invitation to final rounds. I would try to get an insider view of how the office is doing and the likelihood of increased demand later in the year. McKinsey overall is still proactively hiring to avoid compromising a future class of partners but there is conservatism in many offices where you don't want to hold out on something that may not happen.
[Separately, a piece of advice for future McKinsey candidates. If your first round interviews do not give any tangible feedback, push them to go through the details as well as asking for where they felt you were particularly strong. McKinsey is a strenghts based organisation where beyond a hygiene-level, your distinctive strenghts will be what will set you up for success. If you don't feel you are getting meanigful feedback on the call, ask for follow-up time in the future (e.g., "15 min coaching session") so that your interviewer actually has some feedback ready for you. The unfortunate reality is that your interviewer may not remember much about your specific interview and will give you generic feedback to compensate.]