I used to hang out with Penn back when I was a castle member and he never mentioned that to me. I guess it's possible that happened but it would have been a very long time ago. The Magic Castle was founded in the late 1960s by two brothers, Bill and Milt Larson. Since then it has gone through quite a few different regimes. There was a brief time back in the 1980s when P&T were first breaking nationally when some older magicians made an issue about what they heard the P&T show contained (most hadn't actually seen it themselves). But this was a minority of magicians, mostly older hobby-types, and never the working pros. Every club tends to have some older cranks who focus on policing hall passes or whatever. If P&T wanted to go to the Castle in recent decades they'd be gladly welcomed. I'm pretty sure Michael Close, who's been the senior technical coordinator running the behind-the-scenes of P&T's Fool Us show for many years was on the Magic Castle board of directors at some point.
It would make more sense if perhaps P&T were "uninvited" from the UK's Magic Circle, which is a very different, much smaller and entirely unrelated private magic club. The Magic Circle only very recently started allowing female members, so I'm pretty sure P&T would be delighted to be banned there.
The Magic Castle is for Magic Circle members. Magic Circle rules very strictly prohibit their membership. They could always attend the Castle as guests of a member though.
The Magic Circle still asks them to donate items to their museum, despite refusing their membership.
The Magic Circle is a private magic club in London England. The Magic Castle is a private magic club in Hollywood California. The Magic Castle has a restaurant and regular magic shows by professional magicians in three theaters. The performers change weekly. Members of the Magic Castle can give anyone Castle guest passes to go for dinner and shows. In practice, this allows almost anyone who really wants to go to the Castle to get in as they aren't very restricted. I was a member of the Castle for over a decade until I moved out of the area and still have many friends who are members. I haven't checked lately, but in most eras, if you just called the Castle office and asked very nicely they'd send you a guest pass. I'm sure Penn and/or Teller have wanted to go to the Magic Castle, there'd be no issue.
The Magic Circle is quite different. It's not generally open to the public and is, frankly, quite old fashioned. It was only very recently that they even started permitting female members. For that reason alone I doubt that either Penn or Teller would ever want to go there. They'd probably be more likely to actively protest against the Magic Circle (at least until recently).
Or maybe they’re confusing magic castle with white castle. It’s an easy mistake to make, although I suspect it’s harder to get thrown out of white castle.
Given their popularity, I'm sure they've been allowed back in. :-)