Contrary to the opinion of many people, the distribution area of penguins is not restricted to the Antarctic continent and perpetual ice. This is only true for 4 of 18 penguin species: Emperor, Gentoo, Adelie and Chinstrap Penguins. King Penguins are not found on the Antarctic continent but on sub-Antarctic islands (for example Falkland, South Georgia, Prince Edward, Crozet, Kerguelen, Heard and Macquarie Islands). Emperor and Adelie Penguins are distributed all around Antarctica while Chinstrap and Gentoo Penguins are only living on the Antarctic Peninsula. All mentioned Antarctic species also breed on several sub-Antarctic islands but the Emperor Penguin is restricted to the Antarctic continent.
The climate of Antarctica is very extreme, it is the coldest place on earth! The lowest measured temperature was -89,2°C at Vostok Station. The average annual temperature on the Antarctic Peninsula is -5,3°C. At the climate station Scott Base in the Ross Sea region where some Emperor and Adelie Penguin colonies are distributed the mean annual average air temperature is -20°C. On sub-Antarctic islands it is getting a little bit warmer, the average annual temperature for example on South Georgia is +1,8°C.
In contrast to all other penguin species, Emperor and King Penguins do not build nests. They only lay one egg per breeding season and carry it on their feet. Their warming brood pouch is put over the egg.
The pygoscelid or brush-tailed penguins, Gentoo, Adelie and Chinstrap Penguins build their nests out of little stones because they hardly can find other material on the Antarctic continent. Suitable stones are hard-fought during breeding season and opportunity makes thieves: if the neighbor is inobservant, some individuals will pilfer stones from its nests. On sub-Antarctic islands these penguin species nest on beaches or in tussok grass.
The first threat that may come to your mind when you think about Antarctica is probably "global warming". The temperatures on the Antarctic Peninsula have increased by 5-6°C since the 1950s. That lead to melting of ice in some regions. It is assumed that the krill population is reduced because of melting ice. Krill is a collecting term for different shrimp species that appear in big swarms. Krill is not only the main diet for Antarctic penguin species but also for other animals in the Antarctic region like seals and whales. Krill preys on little algae that grow at the undersurface of the ice. It is supposed that if the ice is melting, less algae and consequently less krill will be available. But until now, there is no scientific evidence that the populations of Antarctic penguin species are declining due to the effects of climate change.
There is also no evidence yet that the increased tourism in Antarctica causes declines of populations or disturb Antarctic penguin species. Only in Gentoo Penguins it was investigated that the near to humans results in physiological or behavioural responses and stress. Not only tourists but also scientists could disturb penguins during their studies. Especially wrong handling methods could hurt individuals.
The effects of climate change and human disturbance have to be monitored in the future. Also the increased impact of the fishery industry in Antarctic regions might be a potential threat to Antarctic and sub-Antarctic penguin species. So, there has to be done more research to clarify threats and to react on potential threats to protect penguins.
Emperor and Adelie Penguins are listed on the Red List of Threatened Species as "near threatened". They were uplisted in the last years because of possible threats due to climate change.
Gentoo Penguins are also listed as "near threatened" by the IUCN, although the population trend is stable and the population has increased in the last years. That is why researchers think that this classification is not justifiable and the listing as "least concern" would be more appropriate.
King and Chinstrap Penguins are classified as "least concern". Their population sizes seem to be large and the population trend is stable. However, recent monitoring results suggest that the population trend of Chinstrap Penguins is declining. Maybe the classification will be adjusted soon.
Book: Penguins - Natural History an Conservation, edited by P.G. Borboroglu and P.D. Boersma
Wikipedia article "Climate of Antarctica"