After default installation of Jenkins CI (http://jenkins-ci.org) admin UI is accessible by everyone.
In order to secure administrative functionality you will need to go to Manage Jenkins -> Configure Global Security (uri: /configureSecurity) and enable security checkbox. In Security Realm you can check "Jenkins’ own user database". Do not set any other settings yet. After saving this form next step is to create admin user. This can be done by using "Sign up" link in the top right corner. After admin user is created now we can disable access of anonymous users to admin UI and shut down possibility to sign up for accounts. Go back to Configure Global Security and uncheck "Allow users to sign up" in Security Realm and in Authorization select option "Logged-in users can do anything". That is it. Now only authenticated users would be able to administer Jenkins.
Here is screenshot of the Global Security after all steps applied
Above instructions were done based on Jenkins ver. 1.571