When an agent is interested in a self-pubbed book, can I keep the Kindle rights?

Well, it sort of depends. A lot of publishers today want to exploit the epub rights through their own house. If the agent works primarily with publishers that tend to keep those rights, I can see where an agent would be reluctant to take on the book if s/he sees it as something that will be difficult to sell.

Remember too that any print publisher will put on their own cover, which you wouldn't be allowed to use to market the Kindle version. That will make it harder to market the Kindle version to readers who will recognize the book from a print source.

There are also some publishers that have non-compete clauses in their contracts that (without revision) would prevent an author from stepping on the print toes with another version of the same book on the market at the same time. In a way, the publisher is right to be concerned that their marketing efforts would feed your pocket while not feeding their own.

You'll have to decide for yourself if it's that important to you.

It's not rude or greedy of you to want to retain those rights if it means a lot to you. But this is a conversation you really need to have with the agent, not with us.