Ableton Forum

Play a midi track. (Preferrably with long notes.)
In a second midi track choose Midi From to the first midi track.
Double click to create a new midi clip in the second midi track.
Arm Session Recording on the second midi track.
Release Arm Session Recording when notes are yellow.
Bug: Piano keys are still yellow.

or more simply:
create a midi clip
arm the track
play and hold some notes and un-arm the track (while still holding the notes)
the keys remain yellow (well, blue in my case...), but the sound is cut (un-arming sends a note off message).