jQuery 1.4.4: How to find an element based on its data-attribute value?

I imagine this should be a pretty trivial task but using Firefox for Mac, 3.6.12 the following does not work:

// assign data attributes
$('.gallery li').each(function(i) {
    $(this).data('slide',i+1);
});

// outputting an empty jQuery object
console.log($('.gallery li[data-slide]'));

// this does not work either outputting an empty jQuery object
console.log($("[data-slide]"));

using Firebug I can see that all the data-slide attributes including their numerical value are correctly attached to the lis and logging out:

$('.gallery li').each(function(index) {
  console.log($(this).data());
});

outputs as expected:

Object { slide=1}
Object { slide=2}
Object { slide=3}
Object { slide=4}

So why does the first console.log not work?