Entanglement is a key resource in quantum information. It can be destroyed or sometimes created by interactions with a reservoir. In recent years, much attention has been devoted to the phenomena of entanglement sudden death and sudden birth, i.e., the sudden disappearance or revival of entanglement at finite times resulting from a coupling of the quantum system to its environment [1, 2, 3]. We investigate the evolution of the entanglement of noninteracting qubits coupled to reservoirs under monitoring of the reservoirs by means of continuous measurements. Because of these measurements, the qubits remain at all times in a pure state, which evolves randomly. To each measurement result (or "realization") corresponds a quantum trajectory in the Hilbert space of the qubits. We show that for two qubits coupled to independent baths subjected to local measurements, the average of the qubits' concurrence over all quantum trajectories is either constant or decays exponentially. The corresponding decay rate depends on the measurement scheme only. This result contrasts with the entanglement sudden death phenomenon exhibited by the qubits' density matrix in the absence of measurements. Our analysis applies to arbitrary quantum jump dynamics (photon counting) as well as to quantum state diffusion (homodyne or heterodyne detections) in the Markov limit. We discuss the best measurement schemes to protect the entanglement of the qubits. We also analyze the case of two qubits coupled to a common bath. Then, the average concurrence can vanish at discrete times and may coincide with the concurrence of the density matrix. The results explained in this article have been presented during the "Fifth International Workshop DICE2010" by the first author and have been the subject of a prior publication [4].