You will NEVER make a video with a transparent bkg. You will make a video with an ALPHA channel, that you can then use to make the bkg transparent in some other application. And you probably already did that while exporting your footage, or so it sounds like.
For example, you bring in footage for greenscreen keying. The footage has a Red, Green, and Blue channel.{RGB} You key out the green using the AE toolset, and render out a QT (or png, or targa or whatever you prefer) as a video with RGBA. The A stands for the new alpha channel. This new footage file can then be imported into something like Premiere Pro and because it has access to the alpha channel it can generate a transparent bkg.