A Varese youth product, Penzo began his footballing career at the age of 19, in Serie D, with Borgosesia in 1972, before moving to another Serie D side, Romulea for a season in 1973, where he made a name for himself as a promising striker, due to his eye for goal. In 1974, he was acquired by Roma, as a striker-partner for Pierino Prati; he struggled to gain playing time with the capital club, however, and only made 19 appearances during the 1974–75 season, scoring just one goal, which came in an away win over Fiorentina.