The Humboldt penguin's body was found near a car park in Mannheim, after it went missing from the city's Luisenpark zoo five days earlier.
It was reported that the penguin has been decapitated.
Police said they did not know if the bird was dead when they believe it was left near the car park by the thief.
The penguin was identified by the number 53 it had on its wing.
Joachim Költzsch, the director of Luisenpark, said: “The incident with our missing penguin could not have had a more tragic outcome.
“Our employees and visitors had an emotional attachment to the animal.
“All of us, especially the zookeepers who took care of the animal every day, are shaken by the death and also by the way such little respect was given for a living creature.”
Prosecutors have opened an investigation and are looking for possible witnesses, police spokesman Michael Klump said.