You’re talking about the ninth amendment: “The enumeration in the Constitution, of certain rights, shall not be construed to deny or disparage others retained by the people.”
That says that the list of rights enumerated in the constitution is non-exhaustive. That just means that rights can exist in other places besides the Constitution. But if you want to say there is such a right, you have to identify that right in some other source.
But the “emanations from penumbras” language isn’t referring to a non-enumerated right found somewhere else. It’s saying that the privacy right originates in the “emanations from penumbras” of the constitution. So it’s saying the constitution itself creates that right.
