"I don't think this will dent us," he told the official Scarlets website www.scarlets.co.uk. "We didn't win, but we got a lot out of the game. We weren't far behind, if not equal to Wasps, in lots of aspects and that will give us a positive outlook this week.
"It will help us as we look to chip away in the league, starting with Friday's big game against the leaders Leinster in Dublin."
The Scarlets were left to rue a first half of missed opportunities.
"There were 17 points in that first half for us, but we were sloppy at the end of the half and Wasps took their chance well," added Jenkins. "To be fair, they scored a good try at the start of the second half and the weather then became a major factor in the game and it was nearly impossible to play catch-up rugby.
"The rain made the second half a lottery. Those conditions were nearly impossible to play rugby in. Wasps tightened the screw and they kept the pressure on us. In the end, they deserved to win.
"Overall, I thought it was a fantastic day. We brought over 8,000 people up from our region and they've enjoyed the opportunity to actually embrace this tournament and get behind us. When we went out on the field before the game, both sets of supporters were creating a fantastic atmosphere and I really did feel it was a real worthy occasion.
"Being in this final has given us a real taste for it and we'll be aiming to go one better next season."