It's the Darwinian Theory in practical application. The penguin evolved in an environment that was much more conducive for it to be an underwater "flier" rather than being airborne . On the Antarctic ice shelf, the only significant food source in is in the ocean. In order for a bird species to survive in that environment, it was necessary for it to develop into a pelagic predator much as a seal would be.
The chicken (it can actually fly....just not very far) evolved in a much different environment where its need to fly in order to survive was overpowered by its need to navigate and forage on the ground. There was no similarity between it and the environment that the penguin faced as the two species evolved since food is widely available on the plains and prairies as opposed to an ice-cap topography. Additionally, the occasion to traverse bodies of water was most certainly much less for the chicken than it was for the penguin. Hence, no need to develop the ability to swim either.
There are a number of other bird species than evolved similarly to the chicken (turkey, grouse, pheasant etc) and in the same topographical and climatic environment. Even though there are other arctic-climate bird species that have evolved (tern, plover, snow goose etc), the only other flightless and pelagic comparisons to the penguin would be the puffin and flightless cormorant of the Galapagos (not arctic climate but a pelagic feeder nonetheless), who feed in a very similar fashion to the penguin. There are other flightless birds in other climatic regions (cassowaries, ostriches, emus etc) but they are not pelagic feeders like the penguin is.
I suggest you read The Origin of Species by Charles Darwin for further expansion on this general subject. You'll gain much more information than I am able to give you in such a short post.
Hope this clears things up for you.