Somebody who is so sexually innocent that even the most obviously perverted jokes and sexiest women cannot affect them. Usually only applies to teenagers, children do not count as penguins.
Penguins can also be people who simply do not think of sexual thoughts, they do not notice scantily clad classmates or get aroused often, if ever.
"Steve is such a penguin, he didn't even notice when Marissa bent over right in front of his face."
"You're such a penguin! Don't you ever think about the ladies?"
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