Nasty or bad people have a habit of showing up or returning.
Penny (Noun): Coin of small value (one hundredth of a British pound or one hundredth of a US dollar.)
Turn Up(verb): be found (especially by chance); appear; arrive
Bad Penny: Literally means a bent penny, but in this saying it figuratively means a bad person.
If 'a bad penny always turns up", a bad person always reappears.