Due to an inferior head-to-head record, the Portuguese side need to better Olympiakos's result against Anderlecht when they meet Group C winners Paris Saint-Germain on Tuesday, if they are to qualify for the last 16.
But Jesus believes there is no point in thinking about events in the other fixture and highlighted the danger of taking their eye off the ball.
"Despite the fact that we depend on the other match result, we have to work the same way, with the will to win," he said.
"At Benfica we always play match after match to win. The responsibility is the same. To beat Paris Saint-Germain we will have to play at the top level.
"It will not matter what happens in the other match if we do not win ours."
PSG have already qualified from the group, while Olympiakos and Benfica are tied in second and third respectively on seven points.