With the Primeira Liga title and Taca da Liga already won, Jesus' side could make it four trophies in one season if they can win the Taca de Portugal and Europa League finals in the next nine days.
Victory in both competitions would take Jesus' trophy tally to eight since taking over at the club in 2009 and the 59-year-old says their previous successes are motivating the players to keep delivering.
"We are motivated by the triumphs and titles we have already achieved," he said. "We are making history, but we still have two titles to get and hopefully we'll get them.
"I and the players want to have titles on our CV. We work at it every day and the Europa League is a goal that we would like to achieve."
Benfica face Rio Ave - who they defeated 2-0 in the Taca da Liga final this week - in the final of the Taca de Portugal, but first play Sevilla in the Europa League on Wednesday as they attempt to make amends for their final defeat to Chelsea last season.
"Benfica has been in nine finals and won two and this is what makes the history of Benfica," Jesus said of Benfica's torrid record in European finals since 1962.
"Now comes the 10th. The players and coaches play for moments like this."