Jose Paolo Guerrero's second-half strike secured victory for the Brazilian side in Japan as Gary Cahill capped a miserable end to the tournament for Chelsea after he was sent off late on.
Benitez has faced a hostile welcome to his reign at Stamford Bridge, with Chelsea fans displaying their objection to the Spaniard's appointment during several Premier League games.
"I don't think I am worried about what the reception of supporters will be back in England, we played a very good game against Monterrey and today we did well too," Benitez told reporters. "It is still early, we need to improve day after day, and week after week, and win games."
Benitez admits his side paid the price for failing to finish chances against Corinthians but was buoyed by the number of opportunities Chelsea created.
"We knew it would have been a tough game. They are a good team, they created one chance, and scored. We did not take our chances, and that in the end made the difference," he said.
"They were physically strong, well organised, experience. They were wasting time, surrounding the ref, managing the game well. I don't say that as a negative thing, I mean they were experienced, but we still could have won."