This is working fine in my Node.js project:

if(process.env.MYKEY) { 
    console.log('It is set!'); 
}
else { 
    console.log('No set!'); 
}

EDIT:

Note that, As @Salketer mentioned, depends on the needs, falsy value will be considered as false in snippet above. In case a falsy value is considered as valid value. Use hasOwnProperty or checking the value once again inside the block.

> x = {a: ''}
{ a: '' }
> x.hasOwnProperty('a')
true

Or, feel free to use the in operator

if ("MYKEY" in process.env) {
    console.log('It is set!');
} else {
    console.log('No set!');
}

I use this snippet to find out whether the environment variable is set

if ('DEBUG' in process.env) {
  console.log("Env var is set:", process.env.DEBUG)
} else {
  console.log("Env var IS NOT SET")
}

Theoretical Notes

As mentioned in the NodeJS 8 docs:

The process.env property returns an object containing the user environment. See environ(7).

[...]

Assigning a property on process.env will implicitly convert the value to a string.

 process.env.test = null
 console.log(process.env.test);
 // => 'null'
 process.env.test = undefined;
 console.log(process.env.test);
 // => 'undefined'

Though, when the variable isn't set in the environment, the appropriate key is not present in the process.env object at all and the corresponding property of the process.env is undefined.

Here is another one example (be aware of quotes used in the example):

console.log(process.env.asdf, typeof process.env.asdf)
// => undefined 'undefined'
console.log('asdf' in process.env)
// => false

// after touching (getting the value) the undefined var 
// is still not present:
console.log(process.env.asdf)
// => undefined

// let's set the value of the env-variable
process.env.asdf = undefined
console.log(process.env.asdf)
// => 'undefined'

process.env.asdf = 123
console.log(process.env.asdf)
// => '123'

A side-note about the code style

I moved this awkward and weird part of the answer away from StackOverflow: it is here

Why not check whether the key exists in the environment variables?

if ('MYKEY' in Object.keys(process.env))
    console.log("It is set!");
else
    console.log("Not set!");