The Portuguese boss believes his side are more than capable of beating Roberto Di Matteo's men, having already knocked out Manchester United in the group stage
A video on Chelsea's television channel showed Drogba feigning fear after being told the club had drawn the Portuguese side in the Champions League quarter-finals.
Jesus acknowledged that the forward was "probably just joking", but added:"Drogba only knows what he's thinking.
"Any responses we'll be giving to Drogba will be on the field and proving we are better than him."
"You have to remember that Benfica and Sporting Lisbon eliminated Manchester United and Manchester City, the two top teams in England, from Europe."
Benfica are unbeaten at the Estadio da Luz in the Champions League this season and host Chelsea on Tuesday evening in the first leg of their quarter-final tie.