Pools are searching for a successor to Danny Wilson who left the club earlier in the week, but Penney is happy to remain at Darlington.
He told the Northern Echo: "It's flattering but for me that would probably be a non-starter.
"I know from playing at Swansea and then moving to Cardiff how tricky it can be to go from one local rival to another.
"Don't get me wrong, I'm brave enough to do it, but there could be all sorts of consequences from the fans so no, it's a non-starter. I'm concentrating on doing my best for Darlington."