"Obviously he was injured or we wouldn't have taken him out," Snyder said.
Klein had thrown for 245 yards and run for 64 more before sneaking in for his 50th career rushing touchdown with 9:47 left in the third quarter to give Kansas State a 38-17 lead.
It wasn't clear when he got hurt, but Daniel Sams played the rest of the way.
"Without Collin at quarterback, we had to do some adjustments," said Tyler Lockett, who had a 100-yard kickoff return touchdown. "Collin was still a leader. He was on the sideline getting us going, especially when things weren't going our way. That's what I like about him."
Oklahoma State's Wes Lunt also left with an injury after throwing his third interception in the third quarter. The freshman quarterback, who missed six weeks with a knee injury earlier this year, threw for 184 yards and a touchdown before giving way to Clint Chelf.
Cowboys coach Mike Gundy likewise refused to discuss his quarterback's injury.
"I'm really disappointed in myself, in our coaches, in the way we played," Gundy said. "You travel on the road, and you play a good football team, and you turn the ball over, you're poor on special teams and you don't tackle well, you essentially don't give yourself a chance to win."
Allen Chapman picked off three passes, returning one for a touchdown, and John Hubert added a pair of TD runs as the Wildcats (9-0, 6-0 Big 12) moved ever close to a Big 12 title.
Perhaps a national title, too.
They began the day second in the BCS standings behind only Alabama, which squeaked past LSU, and ahead of fellow unbeaten teams Notre Dame and Oregon.
"I'm proud of our guys because I think they've held up under the pressure," Snyder said, "because it increases as you go on."
Kansas State ended the Cowboys' three-game winning streak and lock up its first win over them since 2006. The Wildcats have scored at least 44 points six times this season, and this time did it against a team that had allowed 38 total over its last three games.
"It was a tough loss and everything, but they played great," Oklahoma State running back Joseph Randle said. "They're deserving of where they're at, 9-0, and they played a great game."
Chelf finished 16 of 27 for 233 yards and a touchdown for the Cowboys (5-3, 3-2), who should know something about playing late-season spoiler to a team in title contention. They were ranked No. 2 when they lost to Iowa State late last season, and got shut out of the BCS title game.
This one was just about as wild as last season's matchup in Stillwater, when the Cowboys held on in the final minutes after the teams combined for 32 fourth-quarter points.
Oklahoma State struck first when Lunt hit Austin Hays for a 54-yard touchdown reception, but the Wildcats came back with 17 unanswered points — Hubert's two touchdown runs were sandwiched around the first of Anthony Cantele's three field goals.
Quinn Sharp added the first of his three field goals to get the Cowboys within 17-10 before the fireworks really started: Lockett field the ensuing kickoff deep in his end zone and went the distance for his fourth career TD return, and Desmond Roland answered by fielding a short kickoff by Kansas State and going 80 yards for another touchdown return.
Chapman's pick-six made it 31-17 at halftime.
The Cowboys had the ball to start the second half, and Lunt appeared to get hurt while throwing an interception to Nigel Malone. He never returned to the game.
The Wildcats marched 93 yards before Klein's touchdown plunge from a yard out made it 38-17, but their star quarterback never returned to the game.
Sharp and Cantele traded field goals before Chelf hit Charlie Moore for a 13-yard touchdown catch to get the Cowboys within 41-27. The two kickers traded field goals again before Cantele missed from 24 yards to give Oklahoma State the ball with 4 minutes left in the game.
The Cowboys marched to the Kansas State 8, but Chapman picked off Chelf in the end zone for his final interception of the night. His three picks were one shy of Jaime Mendez's school record set against Temple on Sept. 26, 1992.
"It came down to a couple possessions, and we turned the ball over, and you're not going to win like that," Chelf said. "We definitely had to play better than we did."