I have only found 1 proof penny to date (1987-S) while CRHing in the 100's of thousands of pennies searched.
I beileve proof pennies are hard to find primarily because the total number of proof pennies minted compared to the number of circulated pennies minted is a very low percentage. With halves the percentage is at least 10X higher for the highest mintage half dollar years and 200X+ higher for the lowest mintage half dollar years.
For example in 1971 they minted 3,220,733 proof sets so that's 3,220,733 each of pennies, nickels, dimes, quarters, and halves.
They made 5,358,889,792 normal pennies in 1971. (Proof pennies were 0.0601% of 1971 mintage)
They made 457,261,424 normal halves in 1971. (Proof halves were 0.704% of 1971 mintage)
And since 1971 halves have been minted at significantly lower numbers (but roughly an equal number of proof sets). Today, no halves are minted for circulation and pennies are minted at a continually increasing rate that is now around 3X of what it was in 1971. So the percentage of proof halves compared to circulated halves is increasing as time goes on while the percentage of proof pennies is dropping.
Another factor is the fact that pennies do circulate and as such touch many more hands than half dollars do so there are additional opportunities for them to disappear from circulation.