Three of the previous clashes were played in France and the most recent at the Millennium Stadium in 2008 when Munster claimed their second Heineken Cup triumph with a tense 16-13 win.
"It surprises me that they've never visited Thomond Park so it will be a great occasion," said Penney.
"It's going to be a special day having one of the teams certainly with a great history in the Heineken Cup and worthy champions that they've been four times. Us hosting them here is going to be a great day."
The French giants have a "behemoth" pack and an extremely dangerous backline with Penney acutely aware of the quality his side will be up against.
"We just can't be loose with the ball, full stop. I think everyone realises the threats that Toulouse have across the park and on the bench so no matter what combination they put together it doesn't matter.
"At one stage of the game they'll be rolling people off the bench no doubt and [they are] just magnificent athletes that are blessed with a rugby talent.
"So we just need to do our best to keep the ball away from them, particularly in those fragmented phase-type plays that they seem to excel in."
Damien Varley and Keith Earls sat out yesterday's training session in UL with both players on managed workloads as Penney explained:
"Damien Varley is fine. Given the history of his foot injury he suffered in Ulster a couple of months ago we're just managing his workload early in the week but he should be fine to go.
"Keith Earls is fine. Again, on a managed workload. He's coming off not a lot of rugby. He played 80 minutes at the weekend and had a lot of miles and high contacts. He had a great game so we're just managing his workload this week."
Munster captain Peter O'Mahony did train with the squad yesterday although lock Donnacha Ryan took no part as his foot injury continues to be monitored.
"Peter O'Mahony is on a managed workload at the start of the week," said Penney. "He trained well today but not fully and hopefully by the end of the week he'll be alright.
"Donnacha Ryan is very unlikely [to play on Saturday] but we'll make a decision on that later in the week. He's on a rehab action plan and it'll either be right or it won't and that will become clear quite quickly."