This happened in Australia. The penguin nearly dies after being chased by a dog among other things; no word about the dolphins but the three jerks involved have a court date.
From ABC News:
After waking up with a penguin guest, police said one of the men panicked and let Dirk go in a waterway known to have sharks. Witnesses who found Dirk said something chased him out of the water. On land, the frightened penguin was chased by a dog before witnesses came to his rescue.