The Lisbon side's head coach felt the better team lost on the night in Turin and urged his players to turn their attentions quickly to their domestic cup final
Neither of the two sides managed to find the net during regular time or extra time, but Sevilla were eventually crowned Europa League champions when Benfica strikers Oscar Cardozo and Rodrigo both had their penalty attempts saved, before Kevin Gameiro converted the decisive spot-kick for the Spanish club.
Wednesday's defeat was the second year in a row that Benfica fell at the final hurdle, having lost 2-1 to Chelsea last year, and Jesus feels the better team on the night in Turin ended up empty-handed.
"When you lose it is always difficult. During the 120 minutes we felt that we were team that did the most to win and we had more opportunities," Jesus told Benfica's website.
"It was a great final even though there were no goals. It was an open game. Sevilla started better but as the match progressed we improved and were the better team. We showed our power and had a number of opportunities to score but weren't able to.
"The best team did not win the Europa League."
Benfica have already won Portugal's Primeira Liga and Taca da Liga this season and could complete a domestic treble if they overcome Rio Ave in the Taca de Portugal final on Sunday.
"I congratulate the Benfica players and supporters, who were worthy of us once again to this end," Jesus added.
"Now we have to look forward because we have another final on Sunday."