Probably just a random instinct that was reinforced by survival of the fittest (at group population levels) because it meant that group didn’t contaminate their nests or water with the dead, which would also attract scavengers that might also try to prey on living penguins when there weren’t any already dead handy.

Or maybe they go to get frozen so that when a future penguin solves the problem of death, they can go and unfreeze the frozen penguins and use that massive undead penguin army to conquer more southern islands.