Klefki is going to be used a lot in competitive battling. They can be annoying with T-wave, Swagger, and Foul Play. Is the best counter another Klefki?
Maybe you should pack a Bouncer and pack a Pokemon that can tank a Foul Play/Play Rough.
Over Predict them and let the Klefki Parahax itself. Then maybe switch to a Physical Attacking Pokemon that can tank a Play Rough/Foul Play. If the Hax God is with you, the Klefki will get Parahax'd you might land a strong physical move(since a lot of Klefkis run 252 SDef) that is Super Effective against Klefki.(E-Quake)
Magic Bouncers such as Espeon, Xatu, and Mega Absol are a strong counter to Klefki since most of those moves are bounceable