Sure, if you have the right anti-malware software that hooks into keyboard calls. Does that answer your question?
There are (non-commercial) malware programs with keylogging capabilities. I suspect Kaspersky 2009 finds those.
There are commercial keyloggers, purchased by those who (for example) want to see what their kids are doing online. Detecting commercial software as a threat or malware can be interpreted as “restraint of trade” and the anti-virus vendor can face civil actions. Anti-virus vendors are reluctant to detect commercial keyloggers as threats, since they are not viruses and one must intentionally purchase the software and install it locally.
There are also hardware keyloggers that are out of the ever-changing scope of what we call “anti-virus” software. These are usually easy to find without software, but you would need some reason to look.
So some keyloggers will be detected (yes) but others will not be detected (no). In other words, no.
There are actually hardware keyloggers that are undetectable except by visual inspection. These are typically like a dongle type device that sit between the keyboard and computer. There are even keyboards that are keyloggers. These keyboards and dongles capture and store keystrokes until retrieved at a later time. These are very difficult to detect and protect against. This is why physical system security is an important part of layered security.