Jensen was overlooked as first-choice Thomas Sorensen was backed up in South Africa by Stephan Andersen of Brondby and Jesper Christiansen of FC Copenhagen.
Jensen, an ever-present for the Clarets in the Premier League last season, had harboured hopes of a first call-up but believes he was never given a fair crack of the whip.
"It's all politics to be honest," Jensen told the club's official website.
"It's quite ironic the three goalkeepers who have been picked over there have all had the same goalkeeping coach at some stage of their career.
"I'm the only one who hasn't so you can think about that yourself. It's all politics and it's frankly a shambles."