The 53-year-old Oscar-winner has been dating Theron, 38, since December, reported Daily Express.
"She's over the moon and loves Sean to pieces. He's the most passionate guy she's ever known and feels he's the right man for her," a source said.
The actor was previously married to Madonna for four years. He has two grown-up children from his 14-year marriage with 'House Of Cards' actress Robin Wright. They got divorced in 2010.
Penn and Theron sparked dating rumours after they were seen cosying up during Penn's Help Haiti Home gala in January.