The men in red crashed to three defeats to the PRO12 champions last season and came up short once again at the Liberty Stadium on Saturday night.
The Welsh region dominated the forward battle and grabbed tries through Richard Fussell, Richard Hibbard and their powerful scrum.
Penney was bitterly disappointed with the performance but reckons Munster can learn from the painful experience.
The Kiwi coach said: “We didn’t bring anything. For some reason we were flat. We lacked the intensity and physicality that we’ve had in previous weeks. The Ospreys did really well and beat us up. But it’s just another step along the learning curve. People are still finding their way in terms of mental preparation and their ability to travel and be in another environment. We’ve coped with that well a couple of times, but not against the Ospreys.”
Matters were made worse for Munster by an injury to Conor Murray and a red card dished out to Damien Varley.
Murray collided with Fussell in the opening exchanges and never recovered, despite spending 10 minutes in the blood-bin, while Varley received his marching orders at the death having lashed out at Alun Wyn Jones.
If found guilty of “kicking an opponent”, the hooker will miss the opening rounds of Munster’s Heineken Cup campaign. The offence carries a ban of four weeks for minor incidents and more than 12 weeks at the serious end of the spectrum.
Penney added: “Conor wasn’t feeling very well and came off. We’ll have to wait until early this week for the medical report and see how he is. He’s an important member of our group.
“I haven’t seen it (the red card incident), so I can’t comment. Damien has a pretty good record in that area. He said he got his foot caught up in a tackle and didn’t do anything. We’ll just wait and see what unfolds.”
Dan Biggar opened the scoring on nine minutes and he extended the hosts’ lead when Simon Zebo interfered with Hanno Dirksen, while chasing a kick.
Munster were doing themselves no favours in the clash and they shot themselves in the foot when Peter Stringer saw his clearance charged down.
Justin Tipuric pounced on the ball and it found its way to Andrew Bishop, who sliced through.
Stringer made the last ditch tackle but the ball was recycled and Fussell clattered through Earl to score. Biggar converted from wide but the try sparked Munster into life.
They began to put phases together and were rewarded with a Ronan O’Gara penalty.
Penney’s men continued to hammer away at the home line but were held at bay by the Ospreys ferocious defence.
Munster were unfortunate not to work a try but O’Gara kicked over a second penalty at the stroke of half-time to reduce the deficit to 13-6.
The veteran fly-half continued Munster’s resurgence following the break but it was short-lived.
Tommy O’Donnell was sin-binned as the Ospreys flexed their muscle with a rampaging rolling maul.
Biggar restored his side’s seven-point advantage and the Ospreys continued to make their extra man count.
Referee Dudley Phillips awarded a penalty try after Munster were steamrolled at a five-metre scrum.
Earls stopped another try when he scrambled back to halt Fussell who broke clear after a turnover and Ian Keatley fired over a penalty on 66 minutes.
But the Ospreys quickly put the game out of reach with their third try through Hibbard.
Munster battled but the writing was already on the wall when Varley was dismissed on 72-minutes.
The clash was Casey Laulala’s first return to Wales since joining from Cardiff Blues in the summer.
Laulala was frustrated with the defeat and insists his side must address their shortcomings at the breakdown ahead of their clash with Leinster and the Heineken Cup opener against Racing Metro.
He added: “It’s very disappointing but we have to pick ourselves up quickly because we’ve got two really important games coming up. We have to get back on the horse and learn from our mistakes.
“The breakdown was really tough and if we don’t get that right we can’t get our game going. It comes down to attitude, willingness and urgency to get that quick ball, against the Ospreys it wasn’t good enough.”
Scorers for Opsreys: Tries: R Fussell, Penalty, Hibbard; Con: Biggar (3); Pen Biggar (3)
Scorers for Munster: Pens: O’Gara (4); Keatley.
OSPREYS: R Fussell (R Jones 2, R Fussell 10); H Dirksen, A Bishop, A Beck, T Isaacs; D Biggar (M Morgan 75), K Fotuali’I (R Webb 72); R Bevington (D Jones 62), R Hibbard (S Baldwn 68) , A Jarvis (A Jones 57), A W Jones (capt), I Evans, R Jones (G Stowers 72), J Bearman, (J Thomas 57) J Tipuric.
MUNSTER: D Hurley; D Howlett(capt), K Earls, C Laulala, S Zebo (J Downey 70,), R O’Gara (I Keatley 58), C Murray (P Stringer 2, Murray 12, Stringer 14); W Du Preez (D Kilcoyne 53,), M Sherry (D Varley 53,), S Archer (BJ Botha 53,) D O’Callaghan, B Holland (D Ryan 53), T O’Donnell, N Ronan, P Butler (P O’Mahony 53)
Referee: Dudley Phillips (Ire)