Boston, which struggled shooting the first three quarters, outscored the Bucks 10-4 to start the fourth and grab a 74-72 lead when Jeff Green scored on a driving layup with 6:10 remaining.
Pierce and Ellis then traded baskets, with Ellis drilling a 3-pointer from the top of the arc with 3:52 remaining to give Milwaukee an 82-81 lead.
Milwaukee cut the score to 91-90 when Marquis Daniels hit a short jumper with 25 seconds remaining. Jason Terry was fouled and hit one of two free throws with 22 seconds remaining to make the score 92-90.
Ersan Ilyasova lost the ball near the basket for the Bucks and it was grabbed by the Celtics. Pierce then hit one of two free throws with 4.9 seconds remaining to make the score 93-90.
Rondo fouled Jennings as soon as he got the inbound pass, but Jennings hit just one of two free throws to make the score 94-92 with 4.5 seconds remaining.
Rondo was fouled and hit one of two free throws to make the score 94-91. Ellis was then fouled and hit the first free throw. The Bucks were called for a lane violation as Ellis tried to miss the second free throw on purpose.
Notes: Jennings was in the lineup after being ejected with under a minute left in the Bucks' win over Washington on Friday. Jennings shoved Wizards guard Bradley Beal after a hard foul Beal made on Ellis ... Rivers changed his starting lineup, opening the game with Terry and Brandon Bass. It was Terry's first start of the season. The game was the first of four straight for Boston on the road. The Celtics next play Chicago on Monday.