How do marine mammals and penguins maintain bone density?
I wouldn't refer to it as "bone loss" but more as bone strength. Lifetime swimmers spend a lot of their time in the water. As in water yes they are almost "weightless" and their bone strength will decrease because it has gotten used to the "low" gravity. Now in the case of penguins and other Marine mammals, they have adapted to the force that the water applied to them. 

Here is a link to a picture of penguin's flipper.