Penney, who had a three-year spell at the Baseball Ground as a player, was one of the favourites for the job, but insists he is committed to Doncaster.
Penney committed to Doncaster
"I knew as soon as the job came available that I would be linked with the position," said the Belle Vue boss.
"But I'm happy at Rovers and I have a settled home life now after travelling around the country throughout my career, so I want to stay and continue the job here in Doncaster."