Not sure what zoo this is from, but those are Magenellic and one Galapagos penguins. Both species are found in more temperate climes. So they could have instinctive reactions to flying insects.
Also, most penguins face the danger of nest-robbing birds. So chasing anything flying could be hard wired.
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Also, most penguins face the danger of nest-robbing birds. So chasing anything flying could be hard wired.