Ellis made all three of his 3-point attempts, including one that pushed the lead to 102-89 with less than 2 minutes to play. His sixth steal set up a 3 by Jennings that increased the lead to 105-89. Jennings was 3 of 4 from beyond the arc.
"Look, we thought in the beginning of the season that we were going to be a good 3-point shooting team and we haven't been," coach Scott Skiles said. "That's such a huge factor. They have been many games where the 3-ball could have bailed us out. We've gotten the same looks, we just haven't made them. Tonight, we knocked them down."
Milwaukee made 10-of-17 3-point attempts while the Nets were 4 of 21.
"It was just one of those days," said Ellis who had seven assists. "If they're going or they're not, you just have to take them when they're open."
Larry Sanders had 12 points and 12 rebounds for the Bucks.
Brook Lopez had 21 points and 10 rebounds as the Nets missed a chance to get back to .500 on the road and lost their third straight.
The Nets were without starting guard Deron Williams. He used his wrist to brace himself as he fell to the court in Tuesday's 93-76 loss to the Boston Celtics. C.J. Watson made his first start of the season and 60th of his career and scored eight points.
Trailing 78-67 after three quarters, the Nets made it a close game in the fourth, getting to 84-80, but Milwaukee answered with 3-pointers from Ersan Ilyasova, Ellis and Mike Dunleavy to push the lead to 11. Brooklyn could get no closer.
The Nets fell to 3-10 in December.
Ellis and Jennings outscored Joe Johnson, who had 13 points, and Watson 45-21. When the teams played on Dec. 9 in Brooklyn, Jennings and Ellis outscored Williams and Johnson 50-24.
One bright spot for the Nets was that they turned 18 turnovers by Milwaukee into 27 points.
After leading by seven to end the first quarter, Milwaukee surged ahead in the second, played close in the third and hung on in the fourth.
Bogans led the Nets back in the fourth with a three-point play that started a 13-4 run that pulled them to 84-80.
"We gave ourselves a chance, we couldn't make big plays," Johnson said. "In that fourth quarter, man, it seemed like we couldn't get over the hump. We fought hard."
Nets coach Avery Johnson was proud of the team despite the outcome and shooting 38.6 percent.
"What a battle for our guys," Johnson said. "Back-to-back games. They played their hearts out. We really had a chance to cut the lead down from four to two or get it tied up, but just couldn't make a shot."
Johnson's turnover after Tyshawn Taylor's 3 that made it a four-point game, Johnson made a bad pass that was stolen by Jennings. After a timeout, Ilyasova hit a 3 and the Bucks were on their way to a win. They would make five more 3-pointers including one by Marquis Daniels who hesitantly fired up a shot from 27 feet that swished for the final points.
The Nets trailed 55-42 at halftime and pulled to 71-64 on Blatche's layup that capped a 6-0 run he started with a basket. But, the Bucks answered on Ilyasova's four free throws and two more by Ellis for a 78-76 lead going into the fourth.
Jennings and Dunleavy sparked the offense as Milwaukee outscored Brooklyn 33-18 in the second quarter and led 55-42 at the half.
Jennings scored eight of his 16 points in the second and Dunleavy added 10.
After a steal by Ellis, Dunleavy hit a fastbreak 3 that tied it at 37 and started an 18-7 run.
The Nets finished the half 17 of 43 (39 percent) and 0 for 8 from beyond the arc.
After the Boston game, Nets CEO Brett Yormark tweeted his displeasure with the players' performance. He also let loose on the Barclays Center's technical issues that also marred the afternoon game. "Nets fans deserved better," Yormark tweeted after the game. "The entire organization needs to work harder to find a solution. We will get there." Yormark called Avery Johnson to talk about his tweet. "It's the same thing I've been saying all along, 'We all have to get better," Johnson said of their conversation. "I agree (with him). We all have to get better."... Nets F Kris Humphries, who did not make the trip, missed his second consecutive game with a strained abdominal muscle."... The Nets last beat the Bucks 99-95 on March 3, 2009. ... Bucks G Beno Udrih returned to the lineup after missing 12 games with a sprained right ankle.