The Humboldt penguin found dead on Monday was just one of three that have gone missing from the enclosure, police reported on Tuesday.
Officers said that the dead bird was found in the flamingo enclosure, while there was no sign of the other two animals.
Police are investigating on suspicion of theft and breach of animal protection laws – although they do not rule out that the penguins might have escaped by themselves.
Penguins are known to make escape attempts, as staff at Odense zoo in Denmark found out two weeks ago.
In a statement, Dortmund city administrators said the body of the penguin would be forensically examined to determine the cause of death.
News of the penguin disappearances has caused shock just weeks after the death of Holly, a 21-year-old sea lion found dead in her enclosure on November 9th.
While zoo keepers believe that Holly was beaten to death, with an autopsy showing serious head injuries, the police investigation turned up no evidence of foul play.
Workers at the zoo insist that there is no chance Holly's death could have been an accident.