Density, hardness of materials, and construction make a difference in the velocity required for one structure to penetrate another. The stronger the construction of the moving object, the lower the velocity required.
However, it makes NO difference to the simple fact that for any moving object A hitting stationary object B, there is a velocity V that will generate enough momentum for A to penetrate B.
You can do the math. If you know how much force is needed to penetrate object B, then it's fairly easy.
PS: In extreme cases (and I'm talking EXTREME, like what it would take for a speck of dust to go all the way through the planet Earth), you would get into relativity. Even though the speck is limited to the speed of light, there is still no limit to how much momentum can be achieved by going faster, because as it approaches c its mass increases.