As reported by the Boston Herald:
A man visits the New England Aquarium with his autistic brother, who wanders off and returns, inexplicably, sopping wet. The two return home, where the man hears some splashing behind the closed bathroom door. He knocks, and his brother sheepishly emerges, revealing a small penguin waddling around in the bathtub.So goes the rumor currently circulating in New England, where Aquarium officials have had to come out and announce once again that it's only an urban legend and not a new one, at that. Last time it went around, the DVD of the popular documentary March of the Penguins had just been released. In this case the resurgence appears to have been inspired by the premiere of Happy Feet, an animated film featuring penguins that sing and dance.