Doncaster sit bottom of League One following a dismal start and are yet to win a home game.
United travel to Belle Vue on Saturday joint top of the League One table, and failure to beat an Iron side in a rich vein of form will increase the pressure on Penney and his struggling team.
The 3-2 defeat at Colchester on Saturday was the latest in a line of disappointing results, but Penney was heartened by his side's second-half display.
And he also warned his players that there is no comfort zone in which to hide.
"I don't think there ever has been," declared Penney.
"If there comes a time when the players are playing well, then they will stay in the team, but if they are not then we will change it."