Probably just a random instinct that was reinforced by survival of the fittest (at group population levels) because it meant that group didn't contaminate their nests or water with the dead, which would also attract scavengers that might also try to prey on living penguins when there weren't any already dead handy.

Or maybe they go to get frozen so that when a future penguin solves the problem of death, they can go and unfreeze the frozen penguins and use that massive undead penguin army to conquer more southern islands.

Because they know it's coming, and now's the best time to find out what's out there.

Unless proven otherwise I choose to believe that it was the same as with the penguin in the Werner Herzog documentary and the bird quickly returned to their flock moments later. (Herzog didn't show that though because a penguin heading towards death is more dramatic)