Computer security is a carefully orchestrated balancing act, too much and the system becomes oppressive and unusable, too little and you become an easy target. No computer system can ever be completly secure, even the best firewall will eventually be breached. The best you can hope for is that the time and effort to circumvent your security is more time and effort than an attacker is willing to spend trying. The more time an attacker spends trying to break past your security the more opportunity you have to discover his activities. In computer security, you see this kind of thing all the time.
Firewalls prevent network penetration.
It's actually not true. When you buy a safe, it comes with a rating. What this means is that a professional safecracker, with safecracking tools and an oxyacetylene torch, will need an hour to break open the safe. If the alarm doesn't sound, and guards don't come running, within that hour, the safe is worthless. System security is a very broad topic, entire books have been devoted to that subject.