Well, even though they're both Prankster Pokemon, they serve different purposes.
Sableye can serve as:
- a spin blocker (but this is not as important because of Defog's new battle properties)
 
- stall with priority Recover
 
- relatively safe switch in to most threats because of its immunities
 
- counters to physical sweepers with Will-O-Wisp
 
- the anti-set up with Taunt
 
- either fixed damage dealer with Night Shade or 
 
- getting rid of items with Knock Off
 
Klekfi can serve as:
- priority Spiker
 
- Foul Play Parahax attacker (like Liepard)
 
- priority Dual Screener
 
- learns Torment and T-wave so it can mess up stat boost spammers
 
- stall with priority Rest + Recycle set, holding Lum Berry
 
- and it has half-decent stats (better than Sableye's anyway)
 
People thought that Sableye would go down in usage because of its new gained Fairy weakness, but to be honest I find it serves its role just as well, especially with new Mega-evolutions on the scene, notably Kangaskhan.
So really it depends on what your team needs. If you already have a spiker/ hazard setter, then go with Sableye to act as a spin blocker. Sableye actually makes a very nice scout with priority Substitute. If you need a good steel type on your team, Klefki makes a nice addition.