Two technical points first - minor ones, but they bug me a little. First it feels slightly off-horizontal: it's probably one of those shots that will always feel so, but its an impression. Second, I think you've left a little too much to the left of the den entrance - just a fraction, but such a clean shot needs a clean composition I think.
Good shot though - interesting contrasts and situation. I couldn't really place it within the framework of the challenge myself, and I bet this has hurt you in the voting. One of those where the title seems to want to push the idea into the challenge, rather than obviously meeting it. I can see the pride - but if you were pushing the idea of zoos as preservation, then perhaps you need something to put it more obviously in a zoo (Yeah, I know penguins don't live in caves, but ...) like people, or a fence, or something. Tricky, obviously, but it's in that area that I think it doesn't work for this challenge.
Wow you are really close to this penguin. Is this a telephoto shot? Looks really good if it is. The penguin has the perfect posture, very cute. I keep wondering what the thing is back in the cave that I can barely discern.
NIcely taken photograph, technically very strong, not too sure how it applies to category, maybe I'm just a little slow! Would love to hear your side of it, might even change the score!