Goals from Francesco Piti and Andrija Delibasic were enough for Los Vallecanos as they overtook Getafe and moved into eight spot in La Liga.
Jemez highlighted the importance of the win, but said he was upset with the way his team played in the first half.
“We are fighting for history. I do not think Europe is a dream, it is there to be taken," he told reporters.
“The win was very important for our future. It allows us to stay in the fight for Europe.
“[In] the first half I thought we were horrible – it was probably the worst we've played. But I am happy about the result."Despite the victory, Jemez admitted his side would have to continue to perform, adding: “We haven't earned anything yet."
The result means Rayo have closed the gap on seventh-placed Valencia to just two points and are now only three points behind Malaga and Real Betis.