A man has been fined for illegally keeping a penguin from Victoria's Phillip Island at a suburban house in Melbourne.

The Department of Sustainability and Environment says the 21-year-old man told a court he found the penguin crossing the South Gippsland Highway at Tooradin.

But the DSE believes the penguin was taken from Phillip Island's Little Penguin colony last year.

The DSE says the man had boasted on Facebook about having a penguin.

He was convicted and fined $800.