As a lighter alternative to the existing answers, you can set the build result with a simple HTTP POST to access the Groovy script console REST API:
curl -X POST \
--silent \
--user "$YOUR_CREDENTIALS" \
--data-urlencode "script=Jenkins.instance.getItemByFullName( '$JOB_NAME' ).getBuildByNumber( $BUILD_NUMBER ).setResult( hudson.model.Result.UNSTABLE )" $JENKINS_URL/scriptText
Advantages:
For this solution, your environment must meet these conditions: