Keegan, hailed as the messiah when he took over the first time in 1992, was named as the new manager on Wednesday and has agreed a three-and-a-half year contract.
The former England, Fulham and Manchester City manager - a decorated player with Liverpool, Hamburg, Southampton and Newcastle themselves - said he was hugely excited at the challenge but that improvements would take time.
"I know what they want and I know what they don't want as well," Keegan told talkSPORT.
"As long as they are realistic and patient I think we can try again to help them have dreams and possibly win something."
Keegan's first match in charge in his second spell will be at home to Bolton on Saturday and the 56-year-old said he couldn't wait to get started.
"I am just as excited this time as I was when I came to play here at 31 and when I came as a manager at 43 or 44," Keegan said.
"I think this is right, I have certainly inherited a strong, talented group of players - which is something I didn't have when I came last time.
"When I came last time we were wondering whether we could fill the stadium. That is not a problem.
"They will be trying to get a stadium big enough if we can put some football on and get some success here.
"The job in hand is a big job, it is a great club."