This is a very valid issue. I have been using ssh-ident* for this reason. You can add keys to ~/.ssh/identities and it'll start up an agent for each identity when you use it. This means if the machine you connect to is indeed stealing your keys, at least they only have one key, not all the keys you're currently using.

There are some caveats; such as having to specify what domains/IPs should use which identity, and also having to alias ssh to get it to work nicely. So it's not perfect, but it does solve the problem you talked about.

* https://github.com/ccontavalli/ssh-ident