Penn did not report Saturday and wants a new contract ahead of the season.
Although McKenzie clearly wants the Pro Bowl tackle to rejoin the Raiders as soon as possible, it doesn't appear likely that he'll budge from his position.
"I want him in camp. He has a deal," McKenzie said via Jimmy Durkin of the Bay Area News Group.
Penn was named to the Pro Bowl for the second time in his career, starring for one of the NFL's premier offensive lines.
The 34-year-old is owed $5.8 million for the upcoming season with a $7.15-million cap hit, and is scheduled to become a free agent after the 2017 season.
"Donald's my guy. ... I'd love to have him. If you guys can go down to L.A. and drive him up I'd appreciate it," McKenzie said.
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