Diego Alonso Roberto Penny (born 22 April 1984) is a Peruvian professional footballer who plays as a goalkeeper for Deportivo Garcilaso.

Penny began his career in 2004 with Peruvian side Coronel Bolognesi, where he played 180 times.

Penny signed a three-year contract for Burnley on 27 June 2008,[4] making his debut on 9 August 2008 in a 4–1 loss against Sheffield Wednesday.

Penny made his Premier League debut in the 2009–10 season, after coming on for the injured Jensen in a 3–1 home defeat by Wigan Athletic.

On 16 August 2010, he left Burnley by mutual consent and returned to his homeland of Peru.