The Eagles lead Alan Pardew's team 3-1 on aggregate ahead of Thursday's second leg, but the Portuguese boss is expecting a difficult test for his side at St James' Park
The Portuguese side go into the game at St James' Park on Thursday 3-1 up on aggregate following a comfortable victory at the Estadio da Luz last week.
However, the 58-year-old says he remains wary of the threat posed by the Magpies in front of their own supporters.
Jesus told reporters: "We did enough - we scored three goals and Newcastle scored one.
"But everything is still open, of course, and they [Newcastle] still believe they can go through as well so everything will be decided tomorrow."
|16/1||Newcastle are 16/1 to beat Benfica 2-0 with Coral|
A last-gasp 1-0 win over Fulham at the weekend saw Newcastle move up to 13th in the Premier League table, but Jesus does not believe the Tyneside outfit's current position is a true reflection of their ability.
He continued: "Yes, of course they have a better team than is shown by the table. They have great players and they are a very strong team.
"Newcastle will start very strongly in the first half as well and we are ready for that. We are always ready for any type of strategy from other clubs so we will be prepared.
"If they attack it will put more emphasis on our defence. I believe Shola Ameobi and Papiss Cisse will play up front and they are very strong in the air.
"But we will be ready for that and have trained for all these possibilities."
Benfica striker Rodrigo, who enjoyed a brief loan spell with Bolton during the 2010-12 campaign, also spoke of the effect the passionate English support could have on the tie.
He said: "We know all the British teams have very supportive fans but we are used to that, so the players are quite relaxed about it.
"Of course we are aware it would be a pretty good moment if we could get through but we will have to wait and see. We know Newcastle are powerful up front but it's our job to neutralise their attack to get through to the next stage."