Well, that depends on where you are. In Switzerland and Austria, the term penalty is used, whereas in Germany you will almost always hear Elfmeter.
The reasons for this are historical: when football spread from England to the European continent, nationalist ideas where very popular in the German Empire. Consequently, they tried to find German-language terms for football terms in order to defend themselves against what was perceived as foreign influence. In Switzerland and the Austro-Hungarian Empire, these concerns did not exist, as people lived in multilingual countries anyway.
That is why terms such as corner and match are still used there, as opposed to Ecke and Spiel in Germany.
In ice hockey, on the other hand, the term Penalty is used even within Germany, whilst in handball the seven-metre throw has adopted the principle from football and is called Siebenmeter, as the distance to the goal is not eleven metres as in football, but seven.