A wireless device (100) for exchanging keys with another wireless device (200) includes a key request module (121), a key generation module (122), and a key transfer module (123). The key request module requests to exchange a key by transmitting a request-key-change frame to the another wireless device. The key generation module generates a new key when the key exchange request is successful. The key transfer module encrypts the new key with a public key of the another wireless device, and transmits a new-key-send frame with the encrypted new key to the another wireless device. A key exchange method is also provided.