The Hollywood actors were included on a list published by the Russian Foreign Ministry alongside high-ranking business and political figures.
“The hostile actions of the American authorities, which continue to follow a Russophobic course, destroying bilateral ties and escalating confrontation between Russia and the United States, will continue to be resolutely rebuffed,” the Foreign Ministry said in an accompanying statement.
Stiller and Penn have both been vocal in their support for Kyiv since Russia invaded Ukraine in late February.
Penn, who has met Ukrainian President Volodymyr Zelensky, was in Ukraine shooting a documentary when the Russian attack began.
Stiller, who is a goodwill ambassador for the United Nations refugee agency, branded Zelensky his “hero” in June after the pair were pictured in Kyiv.
“I’m an actor, so the first thing I go to is like, ‘Oh, it looks like a movie’. But the scale of it is even bigger and it’s real, so that’s really distressing,” Stiller said during the visit.
The Russian Foreign Ministry said the sanctions were in response to personal sanctions imposed on Russian citizens by Washington.