He is brother of the former Danish handball player and 2004 Olympic champion, Trine Jensen.

[3] His mother played for the Danish club Vejlby-Risskov Idrætsklub, and his father was a handball referee.

[5] On 17 February 2011, Jensen stopped on the Danish men's national team after 120 games and 238 goals.

[6] After his playing career Jensen became the head coach of the Vejen EH women's team in 2013.

Following the 2024 European Championship, where Denmark won silver medals, he announced his intention to retire from the position in the summer of 2025.