I felt like I was doing really well. I found the fish and got my fullness up and my hatching was at 30% or so but then randomly it said the egg got too cold and I lost. It was like 1 second after I stopped sitting on it and the warmth was at 94%.
"Oh, I missed explaining the Thief Penguins! They probably stole all the stones from your nest. When your 'Nest Rocks' hit zero, the nest can no longer hold any heat, causing the egg to freeze instantly. You can chase them away by sliding into them with the Space bar. Don't forget, you can always gather more stones from the ground to refill your nest!"