It was "all in a days work for coastal response officers".
However, what people thought might have been an escapee from Natureland because it was at a nearby bus stop turned out to be a guillemot.
PCSO Dave Bunker, who was one of the officers on patrol, said the bird was doing "its best penguin impression".
He said: "The bird was found by officers on North Parade following a report to police of a penguin at the bus stop.
"It is now was initially cared for by our partners Lincolnshire Rural Crime and Lincolnshire Police and will hopefully be released back into the wild asap."
Natureland confirmed they had not lost one of their penguins. Cheryl Yeadon, who works at the sanctuary, confirmed the bird has been taken in by the RSPCA.
She said: "It was definitely a guillemot. Penguins not native to this coast or this hemisphere, so that would be a very big swim.
"The police brought the seabird in to us but due to bird flu restrictions we are not allowed to take in wild birds so we can protect the birds in our collection.
"An RSPCA officer arrived from Nottingham to collect the guillemot, so hopefully it is now receiving some TLC at their wildlife centre."
Guillemots are usually native to cliffs in the north of the country and it is believed it was blown off course and decided to take a rest on the Skegness coast.