Carlo Ancelotti's side booked their place in the showpiece for the first time in 12 years with a spectacular 5-0 victory over Bayern Munich over two legs.
And Benzema is eager to avoid a Madrid derby in the final, with Diego Simeone's side leading La Liga with just three games left.
"We have to win this final," he told reporters. "I'd prefer Chelsea but we'll see."
Reflecting on the match, Benzema says he was proud of how hard his team-mates worked to defeat the European champions.
"They tried to attack, but they left space and we are very strong on counterattacks and we used them well.
"The team played well. We stayed calm and that makes us happy. Bayern got upset about many things."