Penguins stay warm in freezing water because they have thick, soft feathers that keep the cold out. Under their feathers, they have a layer of fat that works like a warm jacket to protect them from the cold. This helps them swim and play in icy water without feeling too chilly.
You can also say it like this: Penguins have a cozy feather coat and a fat blanket underneath that help them stay nice and warm when the water is very cold.