The 'Broken Embraces' reportedly flew to New York to shoot a small scene which sees her playing herself on the red carpet.
According to America's OK! magazine, Penelope is not the only star shooting a guest role in the coming weeks.
Although speculation Beyonce Knowles will appear has been dismissed, her song ‘Single Ladies’ will be featured.
The track will be performed by musical legend Liza Minnelli at the wedding of Stanford and Anthony, which sees Sarah Jessica Parker’s character Carrie Bradshaw serve as Best Man.
Miley Cyrus is also set to film a small part later this week.
Although it is unknown what the 16-year-old 'Hannah Montana' star's role in 'Sex and the City 2' will be, author Candace Bushnell – on whose novel the original TV series was based - has previously said the singer-and-actress would make a perfect young Carrie Bradshaw.
Revealing she was writing books about the gossip columnist's teenage years, Candace said: "At school, Carrie did not follow the crowd – she led it. It was there that she began observing and commenting on the social scene. I think Miley is adorable. The books aren’t going to come out until 2010, so it’s just too soon to predict anything - but again, I think she’s adorable."
Miley herself has previously expressed her desire to make a "younger" version of the original TV series.
She said: "I'd love to do a younger, cleaner version of 'Sex and the City'. I like to think of myself as the girl that no one can get, that no one can keep in their hand."
'Sex and the City 2' – which features original stars Sarah, Kim Cattrall, Cynthia Nixon and Kristin Davis – is due for release next year.
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Photo Gallery: Celebs we adore - Penelope Cruz
