Demand response management (DRM) is one of the main features in smart grid, which is realized via communications between power providers and consumers. Due to the vulnerabilities of communication channels, communication is not perfect in practice and will be threatened by jamming attack. In this paper, we consider jamming attack in the wireless communication for smart grid. Firstly, the DRM performance degradation introduced by unreliable communication is fully studied. Secondly, a regret matching based anti-jamming algorithm is proposed to enhance the performance of communication and DRM. Finally, numerical results are presented to illustrate the impacts of unreliable communication on DRM and the performance of the proposed anti-jamming algorithm.