1: verified that I am authenticated: java -jar jenkins-cli.jar -s http://myserver/jenkins who-am-i
Authenticated as: myuser
Authorities:
authenticated
2: tried to run a trivial script via groovysh and got an error
java -jar jenkins-cli.jar -s http://myserver/jenkins groovysh 'jenkins.model.Jenkins.instance.pluginManager.plugins.each { println("${it.longName} - ${it.version}") };'
Exception in thread "main" java.lang.reflect.UndeclaredThrowableException
at $Proxy2.main(Unknown Source)
at hudson.cli.CLI.execute(CLI.java:271)
at hudson.cli.CLI._main(CLI.java:417)
at hudson.cli.CLI.main(CLI.java:322)
Caused by: hudson.remoting.ProxyException: hudson.security.AccessDeniedException2: anonymous is missing the Administer permission

The workaround is using command 'groovy' instead.

java -jar jenkins-cli.jar -s http://localhost:8080/jenkins/ groovy test_script.gsh

It's also discussed in group.[1]

[1] https://groups.google.com/forum/#!msg/jenkinsci-users/Vb1p7tbWfQk/4vcVrHOC19MJ