Munster claimed their fourth ever European success over Sarries when Ronan O'Gara's five penalties helped them to a 15-9 win at Thomond Park and the result leaves the teams deadlocked on 10 points each ahead of the second of their back-to-back pool games at Vicarage Road.
"They are all 'must-win' games to be fair. We are in a tough pool. But Sunday's game is a must-win," said Penney afterwards.
Penney admitted that the high penalty count against the home side was something they needed to address ahead of next weekend's return match.
"It is something we have been really focusing on, is our discipline and our work with the referees," he said. "We got to a point where we conceded four penalties last weekend and I think we were up at 18 or something this week.
"Both sides defended so well and the pressure of the occasion probably didn't let the skills unfold as well as both sides would have liked," he added.
Mark McCall, Saracens' director of rugby, described his side's display as 'disappointing' as they suffered their first defeat in this season's competition.
However, he pointed out that the return game at Vicarage Road next weekend would provide an opportunity to turn the tables on Munster.
"We were well below our best tonight. It was a disappointing performance, overall," said the former Ireland international. We got off to a poor start and Munster were obviously very motivated. We lost a couple of set-pieces during that time. It gave them a lot of momentum.
"It was a frustrating kind of game because when we did have possession they were quite happy to give penalties away. The penalty count was huge against them. It was some consolation that we got a bonus point at the end."