The Eagles have lost their last five major European finals but their current coach does not believe that their dismal run will affect their chances of victory in Amsterdam
The Eagles are still regarded as one of the most famous clubs in world football but they have not won a major continental title since successfully defending the European Cup in 1962, something that their current coach is well aware.
"Winning the Europa League would be a very important moment in the club's history, and for the players and staff," Jesus told Uefa.com.
"Everyone would be strengthened if we won the Europa League. Getting to the final is very important, but coming away with a victory would be even more important.
"But Benfica always play under pressure: the players, the coaches. We know that in every competition that we take part in, the aim is to get to the final and win.
"It isn't pressure; quite the opposite. It gives more pleasure and calm and certainty in our work because it's a sign that our work is being done well.
"It only gives more value to our capabilities, and that's how we work at Benfica."
Chelsea beat Benfica on their way to Champions League glory last season but Jesus added that rather be daunted by the prospect of having to end their European title drought against the Blues, he is looking forward to the challenge of trying to topple a side full of former Benfiquistas.
"It's our pleasure to face Chelsea, to share a final with opponents that were once my players," he enthused.
"They have David Luiz and Ramires, but I'm not forgetting about Paulo Ferreira and Hilario. That is an important thing to note, and we're happy to have them as our opponents in the final."
Benfica's eagerly-awaited meeting with Chelsea gets under way at 20:45CET.