'Monster' star Theron was photographed relaxing on a beach with Penn earlier this week, reported New York New York Daily News.
They also enjoyed a little surfing near the 53-year-old actor's holiday home, where the pair looked very close and comfortable together.
They further fuelled dating speculation when they arrived back in Los Angeles on the same plane, although they avoided being snapped together and departed separately.
Theron, who was not joined by her baby son Jackson for the beach break, was most recently linked to 'Family Guy' creator Seth MacFarlane, while Penn, who was previously married to Madonna and newly-engaged actress Robin Wright, has also dated Scarlett Johansson.