That's how I've been carrying mine for the last four years and it's fine. I think you're more likely to lose it than to damage it. I have a second one that's identical (registered to the same services) that I keep in a safe place.

I came across https://www.thingiverse.com/thing:2588513 in some Reddit thread about this, got it printed on my public library's 3d printer, and it's been pretty nice. (Had to etch some grooves in the sides of the Yubikey so there's something to grab it to pull it out of the sheath, but that wasn't a big deal)

I’ve hade one for 10 years or more and it’s fine. It’s a durable little thing.

I've had mine on a keyring for 6 months and it hasn't shown any signs of wear. I'd be surprised if it doesn't last at least another 18 months.

I've had a "blue" Yubikey (the one around 20$) on my keyring for 2.5 years. Still works like a charm. Very robust stuff.

After about 6 months of use, my blue Yubikey is tarnished but functions as intended.

I carry mine on my key ring. No issues since I bought it around 3 years ago.