The issue is about death and dying. Three baby penguins are shown frozen to death. One mother penguin is eaten by a seal that brought back memories of Bambi's mother being shot in the forest. Grief is witnessed by both mother and father penguins.
Despite these brutal and heartbreaking scenes, "The March of the Penguins" is about life, liberty and the pursuit of happiness. Given that this lonely life is sustained in this frozen desert, one becomes aware of the existence of God in this arid world.