The result left the Latics in the relegation zone and Penney conceded: "We were well-beaten.
"Leeds were the better side and we just didn't turn up. We did well defensively and our two central defenders (Sean Gregan and Reuben Hazell) were rock-steady and kept us organised, but we didn't do enough going forward.
"We kept it tight in the first half but once we conceded the first goal we had to come out. We didn't create chances and we didn't perform like we did against Colchester on Saturday."