The win was the 400th in the career of Milwaukee Coach Scott Skiles.
Milwaukee led by as many as 15 points late in the third period, but the lead was cut all the way down to three when Tayshaun Prince scored for Detroit with 1:33 to play.
The Bucks then closed the game on an 8-2 run to win back-to-back games for the second time this season. Detroit suffered its sixth straight loss.
Jennings scored 27 points and Stephen Jackson added 25 for the Bucks, who were perfect in their 17 attempts from the foul line.
Detroit was led by 32 points and 16 rebounds from Greg Monroe, who made 12-of-16 shots while playing 40 minutes.