The Portuguese giants approach their second consecutive Europa League final after losing out to the Premier League side in Amsterdam through Branislav Ivanovic's injury-time winner.
But Jesus feels his side are in better shape as they head into the clash with Sevilla in the Juventus Stadium and says he is confident his side can beat Unai Emery's charges.
"We're stronger after last year but that doesn't give us an edge over Sevilla," he told reporters.
"We know Sevilla are a strong opponent. They have a great history in this competition. I see no favourites.
"We've been working on this project for five years. Benfica did not arrive here by accident. We have become stronger and our work has been rewarded. We are focused and we are very confident we can win.
"We've had a very strong season. The team has a lot of quality. As for the fans, they are special and one of a kind."