diff --git a/doc/source/whatsnew/v1.2.0.rst b/doc/source/whatsnew/v1.2.0.rst
index 27511c96faa5a..20ca67c0ad111 100644
--- a/doc/source/whatsnew/v1.2.0.rst
+++ b/doc/source/whatsnew/v1.2.0.rst
@@ -627,6 +627,7 @@ Indexing
 - Bug in :meth:`DataFrame.loc` raising ``TypeError`` when non-integer slice was given to select values from :class:`MultiIndex` (:issue:`25165`, :issue:`24263`)
 - Bug in :meth:`DataFrame.loc` returning and assigning elements in wrong order when indexer is differently ordered than the :class:`MultiIndex` to filter (:issue:`31330`, :issue:`34603`)
 - Bug in :meth:`DataFrame.loc` and :meth:`DataFrame.__getitem__`  raising ``KeyError`` when columns were :class:`MultiIndex` with only one level (:issue:`29749`)
+- Bug in :meth:`Series.__getitem__` and :meth:`DataFrame.__getitem__` raising blank ``KeyError`` without missing keys for :class:`IntervalIndex` (:issue:`27365`)
 
 Missing
 ^^^^^^^
diff --git a/pandas/core/indexes/interval.py b/pandas/core/indexes/interval.py
index 98752a21e44a2..986c4d2c59723 100644
--- a/pandas/core/indexes/interval.py
+++ b/pandas/core/indexes/interval.py
@@ -806,7 +806,7 @@ def _convert_list_indexer(self, keyarr):
 
         # we have missing values
         if (locs == -1).any():
-            raise KeyError
+            raise KeyError(keyarr[locs == -1].tolist())
 
         return locs
 
diff --git a/pandas/tests/indexing/interval/test_interval.py b/pandas/tests/indexing/interval/test_interval.py
index 0fa6abb27cb61..f4e7296598d54 100644
--- a/pandas/tests/indexing/interval/test_interval.py
+++ b/pandas/tests/indexing/interval/test_interval.py
@@ -65,10 +65,10 @@ def test_non_matching(self):
 
         # this is a departure from our current
         # indexing scheme, but simpler
-        with pytest.raises(KeyError, match="^$"):
+        with pytest.raises(KeyError, match=r"^\[-1\]$"):
             s.loc[[-1, 3, 4, 5]]
 
-        with pytest.raises(KeyError, match="^$"):
+        with pytest.raises(KeyError, match=r"^\[-1\]$"):
             s.loc[[-1, 3]]
 
     @pytest.mark.arm_slow
@@ -107,11 +107,11 @@ def test_loc_getitem_frame(self):
         expected = df.take([4, 5, 4, 5])
         tm.assert_frame_equal(result, expected)
 
-        with pytest.raises(KeyError, match="^$"):
+        with pytest.raises(KeyError, match=r"^\[10\]$"):
             df.loc[[10]]
 
         # partial missing
-        with pytest.raises(KeyError, match="^$"):
+        with pytest.raises(KeyError, match=r"^\[10\]$"):
             df.loc[[10, 4]]
 
 
diff --git a/pandas/tests/indexing/interval/test_interval_new.py b/pandas/tests/indexing/interval/test_interval_new.py
index 03c3034772bc6..a9512bc97d9de 100644
--- a/pandas/tests/indexing/interval/test_interval_new.py
+++ b/pandas/tests/indexing/interval/test_interval_new.py
@@ -204,13 +204,13 @@ def test_loc_with_overlap(self):
         with pytest.raises(KeyError, match=re.escape("Interval(3, 5, closed='right')")):
             s.loc[Interval(3, 5)]
 
-        with pytest.raises(KeyError, match="^$"):
+        with pytest.raises(KeyError, match=r"^\[Interval\(3, 5, closed='right'\)\]$"):
             s.loc[[Interval(3, 5)]]
 
         with pytest.raises(KeyError, match=re.escape("Interval(3, 5, closed='right')")):
             s[Interval(3, 5)]
 
-        with pytest.raises(KeyError, match="^$"):
+        with pytest.raises(KeyError, match=r"^\[Interval\(3, 5, closed='right'\)\]$"):
             s[[Interval(3, 5)]]
 
         # slices with interval (only exact matches)
@@ -266,3 +266,11 @@ def test_non_unique_moar(self):
         expected = s.iloc[[0, 1]]
         result = s[[Interval(1, 3)]]
         tm.assert_series_equal(expected, result)
+
+    def test_missing_key_error_message(self, frame_or_series):
+        # GH#27365
+        obj = frame_or_series(
+            np.arange(5), index=IntervalIndex.from_breaks(np.arange(6))
+        )
+        with pytest.raises(KeyError, match=r"\[6\]"):
+            obj.loc[[4, 5, 6]]