Penney had to contend with chants of 'what a load of rubbish' from his own fans at half-time, with the Pirates trailing 3-0 at the break.
Jeff Hughes pulled a goal back soon after the restart but it proved to be mere consolation.
"Obviously I am hugely disappointed and shocked at the performance, especially after our two previous games," said Penney. "Walsall worked harder than us and we got punished. Now I know why we are where we are. You can't have one good performance and then play like that in the next match.
"There are no excuses. We were not good enough. We have to do something about it. We had a good following here, but that's 10 goals we have conceded in two away games and that's not good enough.
"In our next 20 games we have got to treat them like cup ties and we shall have to change things around. We have made one step forward and two back. I shall be hoping for a reaction from the players after this defeat. It's a challenge for them to get focused."