The 20-year-old has been loaned out twice in his fledgling career, enduring two unhappy spells at Bradford City and Mansfield Town.
Things did not go according to plan as Penney featured just once as a sub for the Bantams and only twice at Mansfield last term.
Penney, a lifelong Owls fan, said: "I have been on a few loan moves and they didn't work out. There were doubters. Is it going to work, it is not going to work?Â
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"I want to keep proving the doubters wrong and keep proving to myself, the gaffer and the fans that I'm a good player and I can play at this level."
"It adds to my motivation, but I'm a motivated kid," added Penney. "I know what I want and will work hard to get it."
Penney had to wait patiently for an opportunity to showcase his talent at Hillsborough. But Jos Luhukay, the Wednesday chief, handed him his debut in the Carabao Cup at the beginning of this season. Since coming on as a substitute against Sunderland, Penney has blossomed, earning rave reviews for his performances on the left hand side.
"It has been a great experience for me (playing first-team football)," he said. "It was the next step I needed in my career and thankfully the gaffer has given me a chance.Â
"He has put his faith in me and hopefully I'm repaying him now."
Luhukay is a big admirer of Penney's qualities, predicting the youngster has a big future in the sport.
Penney is confident the increased attention he is receiving will not go to his head.
He said: "I reckon if you ask my family they would say I'm a down to earth guy. There is not much that affects me. I'm quite relaxed.
"I just want to take it in my stride and try and prove people wrong. I'm trying to keep learning from the experience on and off the pitch. Hopefully it will make me a better player and person."
Next up for the Owls is a home clash with automatic promotion challengers West Bromwich Albion.
Penney said: "I think we have done well so far but it is still early in the season. There is a lot still to play for but I do think come the end of the season we should be up there with the players we have got and the way we are playing.
"I think it is just about finding consistency week in, week out."