The Lisbon club cruised into the semi-finals of Europe's second-tier club competition as a Rodrigo double ensured a 2-0 success - and 3-0 triumph on aggregate - for last season's beaten finalists.
Full-back Silvio was taken off on a stretcher in the second minute, though, after he collided with team-mate Luisao as both players attempted to tackle AZ's Roy Beerens.
Jesus confirmed that Silvio has sustained a broken leg and will require an operation and said that despite a fine performance from his side, the mood in the Benfica camp was not one of celebration.
The coach said: "Silvio has fractured his tibia and it will require an operation. I'm sure he will come back. He is a player with a very large passion for Benfica.
"In the locker room we are not happy. We feel bitterness at the injury of Silvio."
Benfica will find out who their semi-final opponents are - which will be one of Juventus, Valencia or Sevilla - on Friday and Jesus was impressed to see his side still in the mix for continental silverware.
"There are not many teams that reach the semi-finals or quarter-finals in Europe - it is good for Benfica," he added.
Vote for your favourite team and win tickets to the UEFA Europa League final!