He began his career with minor Georgian team Dinamo Sukhumi before transferring to Dinamo Tbilisi, the country's biggest team. He came to prominence whilst with Dinamo and earned a move to Cypriot club Anorthosis Famagusta FC in 1992 and then to Greece with AEK, winning the Greek Cup with the club.
Under the Bosman ruling, Ketsbaia became a free agent in the summer of 1997 and joined Newcastle United. Although a popular figure with the fans, Ketsbaia was used sparingly by the club, particularly under Ruud Gullit. He left St James' Park in 2000 to sign for Wolves in a £900,000 deal but again failed to fully settle and in 2001 joined Dundee F.C. during a time when the club began to spend at unheard of levels. He returned to Anorthosis in the Summer of 2002 as a player-coach, where he won the Cypriot championship in 2005. He remains at the club, where he is now player-manager and the club's top goalscorer.