Going through all keys is probably not the best idea. What you could do is store every user sessions' guids in another key - the set data type seems to be the best choice for that - and add/remove from it as the user opens/closes a session. So, when a user opens a new session you will:
SET session:<guid> <session_object>
SADD user_sessions:<user_id> <session_guid>
and when the session is closed, you'll do:
DEL session:<guid>
SREM user_sessions:<user_id> <session_guid>
To find which session guids are a user's, e.g. for an account lock down, do:
SMEMBERS sessions:<user_id>