Two South African students have confessed to stealing a penguin called "Buddy" from a marine park and releasing him into the Indian Ocean, the park's management said.

The endangered African black-footed penguin was taken from Bayworld in Port Elizabeth in the early hours of Sept 21, put in a car and taken the short distance to the coast, they announced on Tuesday.

The students, who have not been named, said it was a demonstration against animals being kept in captivity.