The pair returned to Sushi Bi even after police had captured them and escorted them back to the ocean.
Wellington police described the birds as “waddling vagrants”, while the takeaway's co-owner joked he had no idea that word of his tasty raw fish had reached as far as the sub-aquatic community.
Police said the first call came on Saturday night that a penguin was on a city street, and they managed to return it to the ocean.
Then, on Monday morning they received more calls, and found two penguins nesting beneath Sushi Bi.
It is thought the pair of penguins were huddling near grills beneath the shop in a bid to keep warm.
However, the penguins blew their cover when a shop worker heard them cooing.
After police released them, the penguins were back under the store a few hours later.
They were moved back to the waterfront once again.
The little blue is the smallest type of penguin.
Wellington District Police posted a statement on Facebook, saying: "A couple of penguins have been released following temporary detainment by Wellington Police.
"The waddling vagrants were removed from their sushi stand refuge earlier today by Constable John Zhu.
"Unsurprisingly, this was not the first report Police had received about the fishy birds."
Police were called at around 8.40pm on Saturday night to a report of a penguin on the road in Featherston Street and, with help of some of the public, they helped the "little and blue" creatures back to the ocean.
But this wouldn't be the last of them.
"Then today [Monday], about 6.35am, police received another report of the penguin, this time with a companion, near Wellington Railway Station," police added.
"Constable Zhu responded and, after sensing something fishy, established that the penguins were nesting underneath a food truck near the station.
"DOC [Department of Conservation] and Wellington Zoo were contacted, and with some inter-agency cooperation the adventurous pair were released back into Wellington Harbour."