The one-year-old penguin was spotted swimming in a river mouth in the Japanese capital.
An official from the harbor-front aquarium said the escapee penguin appeared to have scaled a wall in its bid for freedom.
The 60-centimetre long penguin hatched last January and lives with 134 penguins in an enclosure at Tokyo Sea Life Park.
“We first noticed the penguin might have fled when the director of a neighbouring zoo e-mailed us Sunday with a photo,” park official Takashi Sugino told AFP news agency.
Takashi Sugino said officials were struggling to recapture it because it swam “at a tremendous speed”.
The Humboldt penguin was snapped bathing in the mouth of the Kyu-Edo river, which runs into Tokyo Bay.
A park official said that great efforts were being made to find it – and that exactly how the penguin got out remained unclear.
Humboldt penguins breed on the Pacific coast of South America and offshore islands of Chile and Peru.
They are thought to be declining in number. One of the reasons is due to increasing water temperatures caused by the El Nino effect and reduced food supply.
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