Jensen had been quoted in Danish newspaper BT as saying: "This season has been one long slip down the hill, and I don't like to be here anymore.
"Of course I'm angry and unsatisfied because I'm not playing. The manager doesn't treat me like a man but like a puppet - like a little piece he can do with what he wants.
"I know the manager will be upset when he reads these quotes from me. My contract expires this summer and West Brom will probably offer me an extension but now I want to leave. I feel cheated."
However, Jensen denies saying the things quoted in the newspaper, claiming his words have been misconstrued: "Any footballer not getting regular games is not happy and I am no different which is what I told the Danish reporter in a phone interview," he said.
"But most of the quotes in the story attributed to me were made up. It was a quick two-minute interview and the same reporter misquoted me two years ago."