Can a Jenkins build be failed for coverage going down?
I haven't tried it, but assuming you are using maven cobertura plugin, I believe it can be configured to fail as documented here. Would jenkins not honour the failure?
I also see an open feature request for this.
Save last coverage percentage on the side. Use Groovy script (run via Groovy Plugin) that taps into Jenkins Java API to compare current coverage level with previous one and fail the build if it drops. If you seriously decide to go this way I can provide more details and code samples.
Since the 1.6 version of Cobertura plugin, the issue has been fixed, and a new option appeared that allow the plugin to make the build failed if coverage is lower than previous build.