Why does Sheldon think there is someone else in Penny's room?

Because I heard the sound of Penny's room.

According to the video materials of The Big Bang Theory, Sheldon came to Penny's room in her pajamas and found Penny working out. Sheldon hears Penny exercising and suspects that there is someone else in Penny's room.

The Big Bang Theory (TBBT) is a sitcom directed by Mark Cendrowski and written by Chuck Lorre and Bill Predy.