Penney was given a tremendous reception by fans of the club he led to two promotions but there was to be no fairytale return.
Darlington made it difficult for Doncaster at the start as both sides cancelled each other out in a defence dominated first half.
Chances were hard to come by but once Rovers settled into their stride they began to look the more dangerous side.
Top-scorer Paul Heffernan was a constant threat for Rovers and he headed just wide in the 17th minute following an excellent move involving Lewis Guy and Jason Price.
It was not all one-way traffic and Darlington had their moments with Simon Johnson and Julian Joachim showing up well in attack.
But it was defender Patrick Collins who forced a save from home keeper Ben Smith in the 27th minute when he landed a shot on target following a free-kick from David Rowson.
Left-back Peter Gilbert made a promising debut for Doncaster on loan from Sheffield Wednesday and he did well to head off the line from David Wheater just before the interval.
Gilbert showed his mettle at the other end early in the second half with a cracking 20-yard volley which was saved by Lee Jones at the second attempt following a corner.
Inevitably it was Heffernan who made the breakthrough in the 54th minute with a terrific close-range volley to notch his 12th goal of the season following excellent play by Steve Roberts and Price.
To their credit Darlington never gave up the fight and they battled to the end.
The League Two outfit, who had lost their last seven games, gave Doncaster some anxious moments with Johnson firing just over the top with their best chance in the 68th minute.
Bruce Dyer missed a good chance for Doncaster and Guy had a volley well saved before the home side sealed their place in the area final of the competition with a second goal in the 89th minute.
Sean Thornton created the opening with a defence splitting pass to Price who hammered home a thundering left-foot shot from 20 yards into the top corner.