The actor's representative did not immediately return Fox News' request for comment on his current location.
Over the weekend, Penn condemned Russia's president Vladimir Putin while applauding
Ukrainian president Volodymyr Zelenskyy for his response to the conflict.
"Already a brutal mistake of lives taken and hearts broken, and if he doesn't relent, I believe Mr Putin will have made a most horrible mistake for all of humankind," Penn wrote.
He went on to praise the people of Ukraine and their leader for their courage.
"President Zelenskyy and the Ukrainian people have risen as historic symbols of courage and principle," he wrote.
"Ukraine is the tip of the spear for the democratic embrace of dreams. If we allow it to fight alone, our soul as America is lost."
He arrived in Kyiv last week to film a documentary for Vice about the crisis.
He was photographed at a press briefing at the presidential office and also met with Ukrainian presidential adviser Alexander Rodnyansky last Tuesday night before the conflict escalated.
"On a slightly more positive note today in spite of the political and military situation: Exciting, fun and captivating conversation over dinner with @SeanPenn, who came to #Kyiv at this critical moment. #StandWithUkraine," Rodnyansky tweeted at the time.
An Instagram account for the President showed a video via Instagram Story of 44-year-old Zelenskyy having a conversation with Penn.
"The more people know about the war in the Ukraine, the higher the likelihood of stopping Russia!" the caption stated.