There are many variables involved, and the honest answer is that there's no one answer. It depends on what kind of Map we're talking about, and it depends on how many entries are in the Map. For a TreeMap, looking something up in the Map takes time proportional to the size of the Map; for a HashMap, it's a constant. For some implementations, creating the EntrySet might be expensive (in theory at least,) while for others, creating the keySet() might be.
But in general, iterating over the Map.Entry objects is intended to be more performant.
Note, finally, that worrying about this kind of detail is usually counterproductive until you have a working application and profile data that tells you that iterating over this Map is taking too much time.