Well, Penn State supporters/fans come in two major types: Those who root for the Lions because they're "our" state university team, or because they're central Pennsylvania's team, or whatnot; and those who are Penn Staters - those who attended Penn State, have a degree, etc.
This second group isn't going to not "stick with" Penn State; trust me, if you spent years (whether four or two) in Happy Valley, you're not likely to go pull for some other university's football team. But it's not just (or in many cases, even primarily) abut football. Penn State is a high quality university; a Penn State degree opens doors, and prepares students to step through those doors and perform well for employers. Perform well academically at Penn State, and every graduate program in the country is open to you.
I keep tabs on how the football team is doing - but they're not why I still feel allegiance to Penn State. That's about their academic excellence - their ability to attract top-flight faculty, in departments where i was once an undergrad, and in departments across the university. I make an annual contribution - not to the Nittany Lion club (the athletic boosters organization), but to the Libraries.
It's good to see the football team returning to excellence...but it's better to see a whole range of important academic departments (all of which are more important than the athletics department) sustain excellence year after year.