Eclipse COBOL project files, .cobolBuild, are Ant scripts that use a number of custom Micro Focus tasks defined in the mfant.jar file. Each Eclipse project has its own .cobolBuild file which you need to compile when building the application that they all form.
In order to build such projects with Jenkins, you need to specify the location of the mfant.jar file to Apache Ant using ant's -lib command line option. You need to specify this in the Build section of the Jenkins project's configuration:
Windows:
call ant -lib "%ProgramFiles(x86)%\Micro Focus\Visual COBOL\bin\mfant.jar" -f .cobolBuild
UNIX:
call ant -lib $COBDIR/lib/mfant.jar -f .cobolBuild