For complex pipelines and code reuse (plugins, pipeline libraries, scripting) between projects, Jenkins offers more features for power users, and its maturity has been proven while GitLab CI still suffers from his young age.
Other examples with the Cons at the end of this article : https://medium.com/sv-blog/migrating-from-jenkins-to-gitlab-...
and https://stackoverflow.com/a/37430097/2309958
(and I can probably find a lot more :-) )