In a CNN interview on Saturday, the actor-director said that if Zelenskyy appeared on the show in front of an audience of millions, it would have been a great opportunity to speak.
However, he fears that the film academy has not pursued this further.
In that case, it would be "the most shameless moment in Hollywood history."
Penn called for protests and a boycott of the gala if the film academy had actually failed to reach out to Zelenskyy, whose country had been attacked by Russia.
He himself would "melt down" his two Oscar statues in protest, Penn said.
The actor had won two Oscars for the films "Mystic River" (2004) and "Milk" (2009).
In the run-up to the Oscars, there was much speculation about how the organizers intend to deal with the war in Ukraine during the show.
She would want to use the limelight for a serious message, said Oscar presenter Amy Schumer in advance.
She suggested letting Zelenskyj speak via video, but ultimately this was not her decision.
Producer Will Packer left everything open at a press conference on Thursday.
The show is still in the works.
But he hopes that this will be a night to celebrate, to escape the "turbulent time around the world" for a few hours.
Penn helps Ukrainian refugees
Tourist guide Gregg Donovan, on the other hand, hopes the Oscars will take a stand against war.
For days, the American, known as the “Hollywood Ambassador”, has been standing on Hollywood Boulevard in a red tails and black top hat, holding up signs that say “Hollywood stands by Ukraine” or “ACADEMY LET HIM SPEAK” with a picture of Selenskyj.
He decorated a souvenir Oscar with the Ukrainian colors blue and yellow.
"Everybody reacts positively to it," affirms Donovan.
The 62-year-old hopes the stars will at least wear blue and yellow pins on Oscar night.
Penn, who is currently in Poland and is supporting Ukrainian refugees there with his aid organization Core, had met Zelenskyj several times.
The actor and director is working on a documentary about the Ukraine war.