The reason is a counterflow heat exchange in their feet. In the penguins' feet the arteries and veins are very close to each other. Through the arteries blood with high oxygen content and warmth flows into the foot. On the way down the warmth is transferred to the close veins, so cold blood gets into the foot. That is why penguins have cold feet and do not glue in the ice. If their feet were warm, the ice around their feet would be melted and due to the cold surrounding temperature the water would freeze again. Luckily, it does not happen due to the penguins' cold feet!
Tierphysiologie by Roger Eckert, 4th Edition (German book)