I guess the documentation you followed is for GitLab EE edition's.
 
Are you sure you are using EE not CE?

And if I'm not mistaken, GitLab CE is not officially supporting Jenkins.
 
Maybe https://wiki.jenkins-ci.org/display/JENKINS/GitLab+Plugin or
https://wiki.jenkins-ci.org/display/JENKINS/Gitlab+Hook+Plugin helps you.

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