Salomon Kalou scored the only goal of a disappointing encounter in Lisbon, slotting home from close range with just over 15 minutes to go after good work down the right hand side from Fernando Torres.
However, Jesus felt that Chelsea's winner was unmerited and argued that Benfica had shown enough over the course of the game to suggest that it can turn the tie around at Stamford Bridge on Wednesday week.
"It was a good match, as expected," the Portuguese coach said in his post-game press conference. "Chelsea are a strong side with a lot of experience in European competition.
"We dominated for almost the entire game and created more scoring opportunities but ultimately luck was not on our side.
"We were mature, played well and did not let Chelsea create a lot. I don't think we deserved to lose tonight. But there is still a game to play and we feel we have the quality to score in London."
Benfica's second leg meeting with the Blues at Stamford Bridge will take place on April 4.
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