The RaboDirect PRO12 province, who have now lost their last three matches in all competitions, controlled the opening half hour in wet conditions with Sean Dougall's try helping them into a 10-0 lead.
But Paul O'Connell then saw his try ruled out before Maxime Machenaud punished a poor pass from Ronan O'Gara to chase down a try for Racing, with the French side leading 13-10 at the break.
Munster fought back and Simon Zebo's excellent solo try in the 75th minute looked to have sealed the points but Penney's side relinquished the lead two minutes later by conceding a penalty which Olly Barkley dispatched.
Another Barkley penalty capped off the victory for Racing Metro at the Stade de France and Penney was left ruing Munster's missed opportunities as they failed to give him a win in his first taste of the Heineken Cup.
"We had opportunities - there's no doubt about it," said Penney.
"You have never won it until it is over but I thought we would have had enough ability to see it out.
"We did well to get back into the game in the second half and I am proud the way they came back into it.
"I'm very disappointed with the outcome but really pleased overall with the performance in a number of areas.
"But we just weren't capable of nailing those couple of opportunities and we let a couple of opportunities in their hands, which we shouldn't have provided for them.
"Then we created opportunities elsewhere and got close but just didn't quite get over the mark."
Guinness PRO12 Munster News
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