But while most outsiders would have predicted a party atmosphere in the Leinster camp after such a huge achievement, Jennings says the relief of winning on the road was mixed with a frustration at not reaching the peak of their powers on such a big stage.
"The feelings after that are a little bit all over the shop to be honest," said Jennings. "You could see the reaction of the guys coming off the pitch - yes, we're very proud of what we've done and believe me,
"I would have taken that win if someone had offered it to me in the week, but we didn't play as well as we could have and we didn't do what we wanted to at times.
"It was frustrating from a player's point of view because we knew the quality of opposition we were coming up against and we wanted to play well.
"But that says a lot about the kind of blokes who are in the squad - it didn't go our way at times but we stuck to the task and when we got an opportunity, we capitalised on it. From that point of view, it's pleasing.
"The defence at the end was pretty impressive as well. The lads put their bodies on the line. The rucks were a mess and the breakdowns were a mess at times, but when we look back at it, we'll be very, very happy because it's not easy coming here and getting a win."
Jennings is hoping to start in a fourth Heineken Cup final on Saturday, 19 May, and will be looking for a better outcome than his first outing in European rugby's showpiece occasion. That was also at Twickenham Stadium, in 2007, when he was in the Leicester Tigers side that played in the first all-English final.
The Tigers went down 25-9 to London Wasps that day in front of a crowd of 81,076. Tigers team mates included his current Leinster skipper, Leo Cullen, a 54th minute replacement, and Ulster outside half Ian Humphreys, who came on after 62 minutes.