There are many threats to penguins of all ages, even unhatched eggs.
THe Skua
The Skua is a large bird that will kill and eat unattended eggs and chicks. One will have the parent focus on it while another sneaks up and takes the egg or chick.
The LEOPARD seal
The leopard seal is a threat to mainly the older penguins while they are out fishing. Penguins know that a seal could be waiting for them under the edge of the ice. They wait until one becomes brave enough to dive in, then the rest follow. Seals swim around the edges of the ice waiting for the first penguin to take the plunge.
The orca Whale
Orca's are also known as the Killer whale. Orca's are known to chase and kill penguins, but there is no evidence of them actually eating the penguins.
Man Kind
You may not realize this but humans are probably penguins biggest threat. Penguins used to be hunted for their blubber, a layer of fat under their skin, to make oils. Also the pollution we put into the oceans. When the water is polluted then fish that the penguins eat will die, and so will the penguins.