The Jenkins plugin was not written to create a Changeset object in Rally, but rather it creates a Build object. The VCS connectors (Mercurial, Git and TFS) are the ones that create Changeset objects. Therefore you typically need both the Jenkins plugin and one of the VCS connectors.
There are many variables in this situation, and here is a description of the process in general terms:
1.Developer commits a source file "foobar.c" with a check-in message of "DE123 Fixed".
2. The Rally connector for some source control management system (e.g. Mercurial, Git and TFS) updates the state of Rally Defect object "DE123" to "Fixed".
3. The Rally connector then creates a Changeset object and a Change object.
4. Jenkins recognizes the commit, runs the job, gives your version control system Changeset information to the Rally Jenkins plugin (Rally Build Notifier).
5. The Rally Build Notifier creates a Build object attached to a BuildDefinition for the job and attaches the Changeset to the Build.
For "3." (above) to work when you configure a Jenkins job, on job's configuration page, there is a post-build instruction to Jenkins related to version control: "Source Code Management" section the job's configuration page in Jenkins. The repository specified there must be the same repository with which the Rally version control connector works.
VCS Connectors: