Jennings and co had to fight tooth and nail to claim a late 13-9 victory over Ulster in the play-off semi-finals to set up this weekend's marquee clash with Glasgow Warriors.
Leinster have won a piece of silverware every year stretching back to 2008 and Matt O'Connor, in his first year at the helm, is desperate to keep the run going.
They will certainly have a tough ask against the in-form Warriors but Jennings is confident that there is more to come from him and his teammates when hostilities get underway at the RDS this weekend.
"It was encouraging that we did perform well in defence in the play-off match because they (Ulster) were
giving it to us and we were under pressure at times," Jennings told the Irish Independent.
"But we held to the system and the way we wanted to defend. It gives us good confidence that when we do what we're told - under pressure - it pays off.
"We held steady and that builds confidence in our defensive system. We're not getting too carried away though.
"It was good but we'll have to do a lot better if we want to win the trophy because it's been a tough old couple of months to get to here. So we want to do it justice."
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