The issue was from Docker configuration. In Ubuntu 18.04 Docker configuration is located in
/lib/systemd/system/docker.service Then I need to update to enable Docker daemon connection from Jenkins.
ExecStart=/usr/bin/docker daemon -H fd://
I updated the configuration above to a new configuration below.
ExecStart=/usr/bin/docker daemon -H fd:// -D -H tcp://0.0.0.0:2375 The I restarted Docker daemon.
sudo systemctl daemon-reload sudo systemctl restart docker
Now it worked. Jenkins can connect the Docker daemon now.