Hmm, if theres one thing about the Penrose and Mobius, is that they're susceptible to head placement. Your head shape may also be a factor. I do know what you mean, though I have experienced it with other closed backs, not the Penrose. I think that's an issue that varies person to person, and headphone to headphone.
I do think the Penrose is decent, not excellent in noise isolation which may contribute to the feeling.
I have construction right outside the window of my office and I can't hear it at all out of my ear closest to the window but I can hear it perfectly clearly from my ear further away. I'll look into the fit and see if that changes anything, and if it doesn't, oh well it's not that big of a deal.