Spurs made it seven clean sheets from their first 10 Premier League matches with Sunday's goalless draw against Everton.
The club are yet to concede a goal in the Europa League, with Jennings convinced that their stability at the back can help lead them to success.
"We were strong defensively and it's important if you want to progress in Europe," he told the club's official website.
"Things are going well defensively at the moment. The good thing is if you are keeping clean sheets, whenever you score in a game, you have a great chance of winning."
Tottenham host Sheriff Tiraspol in the Europa League on Thursday.