I agree with Joe, "beam web penetrations" are done all the time, but are designed with this in mind.
Depending on the situation, some are just round holes through the web, some are reinforced with a short piece of pipe, or flat bar stiffeners, some engineers just want the holes to be smooth without any gouges, and some engineers want the hole to be cut with a particular piece of equipment(ie plasma torch)
...there are many things to consider, so get the approval and a sealed drawing from a licensed engineer like Joe stated.