The 45 year olds reputation with the Gunners rests on scoring only one goal during his four year spell at Highbury.
Coaching wise he led Herfolge to their first ever Danish league title as player-coach in 1999 and had successful spells as assistant to Michael Laudrup at Brondby and La Liga side Getafe.
Kean told Rovers' official website: "John has a wealth of experience, both here and abroad, and he is very much focused on the development of players. His views and philosophies on football dovetail with mine and he has also shown himself to be a very loyal assistant, a massively important factor for me. I am delighted to welcome him aboard."
Jensen added: "From what I see and hear this looks like a very exciting time for Blackburn Rovers, with the new owners and a new manager. I think I can bring knowledge and experience to the job and I also believe I can help players become better individually and the team to improve as a collective unit. I view it as a great opportunity."