Penalise you in what way?
I can't see why or how Google would penalise you for something like that.
But I would check with the article directory's guidelines on what type and how many links you can have in an article.

I don't think Google would but I think the article directory may. When article directories first became the hot thing, you could stuff them with an insane amount of links. Today, things are much different. Your articles get flagged very quickly if you get caught pulling this kind of stuff, so be careful.

What I like to do is get links from the article back to my blog which is optimized for affiliate marketing and gets very high conversions. Doing it this way makes me have full control over everything and did I mention SEO benefits?

If I'm aiming at low competitive terms, I can get links back from a handful of articles and so some other linking magic and be in the top 10 very quickly. Now I have SEO traffic, article traffic, and affiliate marketing revenue coming in.

What exactly do you mean by "too many different affiliate links"? How many would you consider as "too many"? If there's an affiliate link every 10 words, then yes, the article directory may very well pull your article. But if you're talking 4 links in a 2000 word article, you should do fine.

Posting a 2000 word article is pretty redundant, btw. You're much better off breaking it into five 400 word articles.

One of the hardest things about article marketing is the process it takes to actually convert a reader into a sale. First you have to make sure that someone clicks to even read your article, then you have to hope they read it all the way thru to where they even SEE your author bio box. Then, you have to hope they actually click a link TO your niche site where you offer your affiliate products...and then, you have to hope they click to read the sales page, and THEN, you cross your fingers that they BUY the product.
Whew! Exhausting...and a lot of opportunity to lose a reader in the process! Wouldn't it be nice if you could simply put your affiliate link straight to the product in your article? But article directories, like EZineArticles, don't allow that, right?
Wrong! There IS a way to get your affiliate link into your article marketing author resource box so you can send your readers STRAIGHT to the affiliate product.

This is a neat little trick that I've been using. It is approved by EZineArticles, and it DOES work! I was doing my 'hell day' for one of my sites and found myself using this little trick - it made me wonder if my new readers here at 6StepNicheSites.com knew how to do this, too.
The short answer to getting an affiliate link in your article is to a) buy a domain name, and then b) redirect the domain name to the affiliate page.
Sound expensive and complicated? It's so NOT! You don't even need website hosting to do this.... just a domain name!
To do this today, I bought a cheap .info domain name at GoDaddy.com (a whopping 99 cents!). I did NOT redirect the name servers to direct the domain name to my hosting account. Instead, I went into my GoDaddy account, clicked on the domain name I wanted to use, chose "forwarding", and then put my Clickbank affiliate link in the space for the url you want the new domain to go to. This makes it so when someone clicks the link for mysupernewdomainname.info, it redirects them immediately to the affiliate sales page.
Then, I clicked another tab on the same screen and chose 'url masking'. This makes it so when someone clicks your forwarding link, they are sent to the sales page (with you affiliate code in tact), BUT they don't SEE your hop link in their browser window! Since it is 'masked' it will show the domain name you bought for this purpose.
Nifty, huh?
Best part is, if the affiliate program I am promoting doesn't convert well, I can simply pick a new one and have the domain name redirect to THAT product instead!
Now, as we have discussed, the purpose of article marketing (aka "Hell Day") is not just to get traffic and eyeballs on the products you are promoting, it is also to generate well-keyworded back links to your niche site. Based on this, and based on the fact that EzineArticles will allow TWO links in a bio box, I make one link to my niche site and the other link it my re-direct.

thanks a lot for this useful tip.