The 58-year-old believes the Eagles were cruelly denied by the Blues at the Amsterdam ArenA in much the same way that Porto condemned them to a crucial league defeat on Saturday
The Eagles looked to have taken the Amsterdam ArenA showpiece to extra-time after Oscar Cardozo had cancelled out Fernando Torres' opening goal, but Branislav Ivanovic headed home an injury-time winner to hand the Blues back-to-back European titles.
The late nature of Benfica's loss forced their coach to draw parallels with last weekend's damaging 2-1 Portuguese Liga loss to Porto, and he feels his side were once more desperately unlucky not to have won the game.
"Chelsea came back in the same manner as Porto did [at the weekend]. We conceded a goal from a set-piece at the very end," Jesus told reporters.
It was a final with two good teams on show, but Benfica were on top for nearly the entire match. We lacked a slight tinge of luck to gain an advantage.
"And even after we equalised, we created a chance which we should have taken. We played a great game, but football punished us in a game which, on the basis of how we performed, we should have been the winners of."