They have that too, but less of it.

The feathers work almost like a dry suit. Trapping a layer of air to insulate their bodies and keep them exceptionally warm, even as they swim into water that's below freezing temps.

They can't dive as deep though. Air is compressibly by the quickly increasing water pressure, so the cold will sap their body heat faster as a penguin dives deeper.

Fat isn't compressible, so seals don't suffer the same problem.