The cute creature was made by Angmering Yarn Bombers as part of a display to cheer up people in the village and it was put out on Sunday night.
But by Monday morning, it had vanished and now Angmering Parish Council is making an urgent appeal for its return.
Sam Fraser, administrator, said: “This gorgeous penguin was stolen on the first night that it was put up in the village and we would ask for its return.”
The 14 members of Angmering Yarn Bombers have also made angels, stars, baubles, garlands, Santas, Christmas puddings and other decorations for a lovely display.
These are all hanging from the trees in The Square, on the bollards and even on the top of the village post box.