Generally, you'll create a new dict constructed from filtering the old one. dictionary comprehensions are great for this sort of thing:

{k: v for k, v in original.items() if v is not None}

If you must update the original dict, you can do it like this ...

filtered = {k: v for k, v in original.items() if v is not None}
original.clear()
original.update(filtered)

This is probably the most "clean" way to remove them in-place that I can think of (it isn't safe to modify a dict while you're iterating over it)

^{Use original.iteritems() on python2.x}

Another way to write it is

res = dict((k,v) for k,v in kwargs.iteritems() if v is not None)

In Python3, this becomes

res = {k:v for k,v in kwargs.items() if v is not None}

Any solution will have to read the values associated to each key of each dictionary; so you won't be able to drop under \$\mathcal{O}(n\times{}m)\$ where \$m\$ is the length of each dictionary. This is pretty much what you are doing, but the if k not in keep_keys call slows things a bit as it is \$\mathcal{O}(m)\$ when it could be \$\mathcal{O}(1)\$ by using a set or a dictionary.

If you change the keep_keys list into a set you simplify the logic a bit: as soon as you find a key whose value is not None you can add it into the set.

dicts = [{'a': 1, 'b': None, 'c': 4}, {'a': 2, 'b': None, 'c': 3}, {'a': None, 'b': None, 'c': 3}]
expected = [{'a': 1, 'c': 4}, {'a': 2, 'c': 3}, {'a': None, 'c': 3}]

keep_keys = set()

for d in dicts:
    for key, value in d.items():
        if value is not None:
            keep_keys.add(key)

remove_keys = set(d) - keep_keys

for d in dicts:
    for k in remove_keys:
        del d[k]

print dicts == expected

This code, as your original one, assume that there is at least one item in dicts; otherwise set(d) will generate an exception as the variable d is not defined yet.

But this code mixes the actual logic with some tests. You should wrap it in a function to ease reusability and put the testing code under an if __name__ == '__main__': clause:

def filter_nones(dictionaries):
    if not dictionaries:
        return

    keep_keys = set()

    for dict_ in dictionaries:
        for key, value in dict_.iteritems():
            if value is not None:
                keep_keys.add(key)

    remove_keys = set(dict_) - keep_keys

    for dict_ in dictionaries:
        for key in remove_keys:
            del dict_[key]


if __name__ == '__main__':
    dicts = [
            {'a': 1, 'b': None, 'c': 4},
            {'a': 2, 'b': None, 'c': 3},
            {'a': None, 'b': None, 'c': 3},
    ]
    expected = [
            {'a': 1, 'c': 4},
            {'a': 2, 'c': 3},
            {'a': None, 'c': 3},
    ]

    filter_nones(dicts)
    print dicts == expected

result = default.copy()
result.update((k, v) for k, v in user.iteritems() if v is not None)