Both players are in their second spells with the Wolves but have made just seven Super League appearances between them this year.
Winger Penny, 29, who rejoined his home-town club from Swinton three years ago, has scored a total of 63 tries in 93 matches since making his debut in 2006.
Centre Blythe, 28, who rejoined Warrington from Bradford at the end of last season, has scored 12 tries in 63 appearances since making his debut in 2007.
Wolves chief executive Karl Fitzpatrick, who is currently in Australia searching for a new head coach, said: "We would like to thank both players for their contributions and dedication to the club during their time at Warrington. All at the club wish them well in their future ventures."
Warrington, who finished outside the top eight 12 months after winning the Super League leaders' shield, are also parting company with Kurt Gidley, Brad Dwyer, Andre Savelio, Rhys Evans, Sam Wilde, Peta Hiku and Ashton Sims.
The club's only confirmed signing for 2018 so far is Penrith forward Sitaleki Akauola.
Blythe later announced he intends to retire at the end of the season.
"I just wanted to put out a statement saying I will be retiring from rugby league after this year," he said. "Injuries and personal issues have taken a toll on me physically and mentally and it's time to start something new.
"I will be going into the close protection industry full-time with some amazing opportunities here in the UK and abroad which I am looking forward to.
"I would like to thank Warrington Wolves for the second opportunity and for giving me the time to better myself off the field."
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