The Portuguese club are in good form heading into the return leg against the Eredivisie side, who have won just one of their last seven matches
The Primeira Liga leaders go into their quarter-final second-leg with a 1-0 advantage and history on their side.
Jorge Jesus' men have not lost any of their last 11 European home games and have won their last five at home against Dutch opposition.
AZ should not be underestimated, though - the Eredivisie side may not have reached the semi-finals of a European competition since 2004-05, but they are currently unbeaten in six away matches in Europe.
However, the visitors are on a poor run of form, with only one win from their last seven matches in all competitions, and were held 2-2 by Eredivisie basement club Roda on Sunday.
Benfica's form is in stark contrast to that of their opponents having only tasted defeat once since early November and saw the goalscoring return of striker Oscar Cardozo at the weekend.
The Paraguay international had not found the back of the net for five months until he netted two penalties in their 4-0 victory over Rio Ave in the Primeira Liga, and Jesus hopes the frontman can maintain that form going into Thursday's match.
"Cardozo does not participate much in the team play, but the team needs a finisher," he is quoted as saying by O Jogo. "A striker lives for goals. He scored a penalty, but nonetheless they are two goals."
Eduardo Salvio's strike early in the first half last week gave Benfica a 1-0 win, and the crucial away goal makes them clear favourites to make the last four.
A lack of goals on their travels will make it tough for AZ to progress - they currently average one goal per game away from home since the group stages and will need to better that to win the tie outright.
They still have injury doubts over Dirk Marcellis with an ongoing knee problem, while Benfica welcome back Enzo Perez after the midfielder missed the first-leg through suspension.
However, Benfica will have to make do with Nicolas Gaitan and Maximiliano Pereira after the duo reached their yellow card limits last time out.