Because that's their prey. They do not eat fish, or squid like other seals (or Sea Lions). They normally only eat penguins probably it tastes good to them but it is a little bit nasty to watch because when the leopard seal grabs it's prey (the penguin), the penguin bleeds a lot
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They chase them down in the water. The seal is faster than the penguin in the water and I have seen documentaries of them doing this. Leopard seals are really prime hunters.