Now in his sixth season with the Lancashire outfit, Jensen has been around long enough to understand Burnley's rich history and how frustrating it has been for their supporters to watch as old rivals Blackburn have recaptured past glories.
Jensen is convinced under Owen Coyle, Burnley can change all that with a place in the semi-finals well within their capabilities.
But he is urging supporters not to get too carried away and expect too much from a team that is still developing.
"When we beat Chelsea, it was probably the club's biggest achievement for a couple of decades," he said. "Now we are playing for an even bigger prize.
"As everyone can see we have taken massive strides forward.
"We have great potential and now everybody is talking about the Arsenal game, or the play-offs and promotion. But we cannot afford to get carried away. The year before I came here we were seventh and people were saying exactly the same things.
"You have to take your time. I believe we can do it but we must not think too far ahead."