First-half goals from Stephane Mbia - who appeared to be offside - and Carlos Bacca ensure that the Spanish side will travel to Mestalla next Thursday for the second leg of their last-four tie with a healthy advantage in hand ahead of a potential tournament decider against Benfica or Juventus in Turin.
With Valencia having overcome a three-goal first-leg deficit in the quarter-final to reach the last four this season, however, Emery is aware that his players still have work to do if they want to taste European success in 2013-14.
"It was 50/50, but now we are the bigger favourites, but with respect to boot," the head coach told reporters after the match.
"We're satisfied with the result and we will respect Valencia in the second leg of the game at Mestalla. We know we have to get ready to suffer to make the final.
"We know that they can overcome 2-0. We'll put in our best performance. For this game, we had worked on our strengths as well as our weaknesses.
"I think the result was pretty fair. They had chances, we had chances, but we had more success where it matters, in front of goal."
Benfica beat Juventus 2-1 at home to put themselves in the driving seat for the final, which would be their second in a row after last season's loss to Chelsea at the final hurdle in Amsterdam.