The Crusaders were ninth of 12 teams in Penney's first season in charge and missed out on the playoffs after winning seven straight Super Rugby titles up to 2023 under Scott Robertson.
It left 2024 as their worst season since finishing 10th in 2001.
Chief executive Colin Mansbridge said independent reviews of the season contributed to more than 50 recommended changes, but replacing Penney was not among them.
"Rob's got the backing of the board and he's got the backing of the players," said Mansbridge.
Crusaders lost key players Richie Mo'unga and Sam Whitelock to overseas clubs while enduring a miserable run of injuries.
"At a high level, our worst result since 2001 created sleepless nights, no doubt about it," said Mansbridge who acknowledged fans' frustrations.
"Should our fans be gutted about where we ended up? Absolutely."
Sacking the coaches "and throwing grenades into a system which produced 14 championships over 26 years" would be like "killing the golden goose," he added.
"I think the story of the Crusaders in the final next year would be pretty outstanding and that's what we're banking on."
