There is indeed a penalty, but it looks like it'll be rather low: many motherboard vendors have announced that they'll provide PCIe 4.0 compatibility on some of their motherboards via BIOS updates - looks like it's a matter of PCI signal strength, as such most boards that have a single PCIe x16 slot should be able to get it, as far back as first-gen B350 boards - depending on the board's maker willing to implement it in BIOS or not (we might get a few beta BIOSes there).There is a penalty for putting a Zen 2 CPU on a Zen/Zen+ motherboard: you get no or only partial PCIe 4.0 support for the CPU's PCIe lanes.
mattsafford :Intel, on the other hand, has a tendency in recent years not to support backward compatibility with its new chips and older motherboards, even if the socket is effectively the same.
Recent years? The 8086 used a different package from the 80286 which had a different package from the 80386, which itself used a different package form the 80486, Pentium, Pentium Pro, Pentium II, Pentium III, P4, etc. Intel's history of requiring new motherboards roughly every other year goes back pretty much all the way to its first consumer processor.
The only thing new "in recent year" is the questionable justifications for forcing people to get new boards since there is nothing new IO-wise to justify it.