The jets from black holes in say Active Galactic Nuclei (AGN) certainly do carry momentum. However, the whole system of an AGN is complex. You have the central black hole which has its mass and angular momentum, but then you also have a lot of energy and momentum contained in the material around the black hole, the `accreation disk' that is falling in. So, in fact the black hole continues to gain energy and momentum via accreation, while some is lost in the jets. Essentially accreation is not 100% efficient in terms of converting all the energy (internal and gravitational) of the surrounding material into the black hole. In fact most of it is shed in the form of the jets or other radiation.
So, yes the jets carry away momentum and energy, but not that of the black hole.