In earlier days,sailors would kill penguins that were not able to fly, now one of the main threats to penguins id the oil and petroleum being shipped by ships over the oceans, this is a hazard because there are ship wreck which drop all of the oil/petroleum and it can posion or harm the penguins and other animals.
Some other threats to penguins were that fishermen would kill them for bait or other reason like that.