The run, which also saw the Yorkshire side beat Manchester City and Aston Villa at Belle Vue, has seen his best players put themselves in the shop window.
But Penney insists he has the full backing of millionaire chairman John Ryan to keep his squad together.
He told the Yorkshire Post: "John Ryan backs us to the hilt and, hopefully, we will be adding players to this squad to help the other players. We are not in debt and the wage bill is not outrageous.
"Certainly, it would have to be a big offer for the chairman to part with any of these players. Without a shadow of a doubt, the chairman will work to keep them here.
"He wants us to get in the Championship and we have made some decent money off the cup run so I am looking to bring some more players in on the back of it."