Jensen joined the Brøndby youth academy at age 13 and made his professional debut for the club in the 2006–07 season as a promising talent.

On 28 September 2006, he made his European debut in the second leg of the first qualifying round of the UEFA Cup against Eintracht Frankfurt (2–2); he came on in the 86th minute for Thomas Rasmussen.

[5] In July 2008, Jensen moved on loan to Allsvenskan club Malmö FF on a six-month deal and made 10 appearances.

With Brøndby, he failed to qualify for the group stage of the 2010–11 UEFA Europa League with the team being knocked out by Portuguese club Sporting CP in the play-off round.

[7] After Brøndby and Jensen could not agree on a contract extension in early 2013, he moved to Norwegian club Rosenborg BK in February 2013.

[12] On 1 February 2021, Jensen signed a three-and-a-half-year contract with second-tier Danish 1st Division club HB Køge on a free transfer.