The Dane was the mastermind behind the club's first major trophy in their 100 year history after last week's 5-0 Wembley triumph against League Two side Bradford City.
Although the 48-year-old former Barcelona star has vowed to stay in south Wales, Jenkins admits the highly-rated boss is unlikely to see out the remaining 16 months of his contract and the search has started for his replacement.
He told The Sun on Sunday: "We always do that process of looking for the next manager, it never changes. We look at different teams and how they play, different managers and if they have the right backgrounds to suit us.
"You have to have an understanding of what is about on the market and what would suit our club.
"You can look ahead, whether it is for two or five year's time."