Purifying selection is the most pervasive type of selection, as it constantly removes deleterious mutations arising in populations, directly scaling with population size. Highly expressed genes appear to accumulate fewer deleterious mutations between divergent species' lineages, pointing towards gene expression as an additional driver of purifying selection. However, estimates of the effect of gene expression on segregating deleterious variants in natural populations are lacking, as well as an understanding of the relative contribution of population size and gene expression to overall purifying selection pressure. Here, we analyse genomic and transcriptomic data from two natural populations of closely related sister species with different demographic histories, the Emperor (Aptenodytes forsteri) and the King penguins (A. patagonicus), and demonstrate that purifying selection at the population-level depends on the level of gene expression, with larger effects than population size. Deleterious segregating variants spread less in the population when they are in genes with higher expression rate. Leveraging realistic forward simulations, we estimate that the top 10% of the most highly expressed genes in a genome experience a selection pressure corresponding to an average selection coefficient of -0.1, which decreases to a selection coefficient of -0.01 for the top 50%. Gene expression appears to be a fundamental driver of purifying selection in natural populations, also effective at small population size. We suggest gene expression could be used as a proxy for gene selection coefficients (i.e., distribution of fitness effects), which are notoriously difficult to derive in non-model species under real-world conditions.