Burnley suffered a 2-1 defeat to Portsmouth at the weekend and leaves the club second from bottom in the Premier League table.
Jensen saved a penalty kick in the game.
“On paper everybody will see it as a big defeat and that’s us doomed, but I don’t believe in that,” Jensen told the club’s official website.
“We have a great spirit and a great bunch of lads and we have to bounce back. With the spirit in the team we have a good chance to.
“We do have the character and the spirit in the club and this is where we have to really stick together.
“We want a couple of wins and we want to get out of it as soon as possible so the quicker we get the points on the board the better.
“I thought Portsmouth were decent and I think they played with a little bit of a free spirit after everything that had happened.
“It was one of those games where either of the sides could have nicked the win and unfortunately it wasn’t us.
“It wasn’t our day so we have to see if we can get the points from somewhere else.
“There are still a lot of points to play for so we have to get back on the bike again and we will bounce back.”