I like Juliebird's take in that Penny was larger than life to him. In actuality they had very little in common, and it may never have worked out. But in his mind, she was his end-all, be-all, and now the real Penny is no longer around to correct his way overblown idealistic portrait of her.
Penny's the cheerleader at the beginning of the movie that the scrawny nerd would give his right eyetooth to date. Then he finds out all she cares about is shopping and hair products, and he'd much rather canoodle with his bespectacled, overall wearing lab partner, who also likes D & D and fixing old cars. Only in this movie, the cheerleader dies in the first scene.