You need to disable events while you change the cells - don't see why you need to change the whole range anyway, though code can be shortened
Private Sub Worksheet_Change(ByVal Target As Range)

Dim KeyCells As Range, mycell As Range

Set KeyCells = Sheets("Sheet1").Range("A1:A10")

If Not Application.Intersect(KeyCells, Range(Target.Address)) Is Nothing Then
    Application.EnableEvents = False
    KeyCells.Replace ",", "."
    Application.EnableEvents = True
End If

End Sub