It's not a nice thing to put bands on the flippers of penguins. It looks bad and totally clashes with the whole "black and white" thing most penguins have going.
Oh, and besides, it makes it harder to swim and have babies and all that. At least according to some scientists. But the controversy rages on since not everyone agrees.
Since alternatives exist, why not switch to subcutaneous electronic tags. They're probably safer and much less of an eyesore.