Are the pennies old or new? Could be some kids are throwing the pennies if they are newer into your yard.

Yep sounds like it means someone is throwing money away. "Kids" sounds to be correct.

Too bad it isn't dollars.

Anyway, collect them up. Free money is no bad thing - however small the denomination.

I would check the dates to help determine when it might have happened.
Not Likely Pennies From Heaven.
Do you have a hole in your pocket?
Would think you would be finding dimes as well.
If So you should soon be finding Nickels and Quarters.
All in one spot?

If they are older dates then possibly you have a ghost who likes to "bring" you stuff. I have several ghosts but they bring me coins inside my home or inside my car and not in the yard. It's amazing considering I use plastic to pay for everything that I keep getting a pocketbook full of coins in the bottom that I have to empty out every so many weeks or my purse is too heavy. Mine bring me every denomination of coins. My son found several dollars in coins inside his locked stand up tool chest in the bottom under the bottom drawer. Funny thing is he doesn't go out shopping to get change of any sort.