Penguins go through a Catastrophic molt each year when they lose all of their feathers at one time. I found out about it from a keeper talk at the Ripley's Aquarium of the Smokies.
I would have thought all of them would do it at the same time, not just one. The others all look fine and looked just fine on my previous visits. I do know they molt each year but I just assumed they would all do it at roughly the same time.