Benzema opened the scoring with an overhead kick in Los Blancos' comfortable 4-1 win over Manchester City at the Melbourne Cricket Ground on Friday.
Although the 27-year-old striker has been linked with a move to Arsene Wenger's Gunners in recent days, his agent insists he is definitely staying in the Spanish capital.
New coach Benitez, who has been constantly questioned over the transfer situations of Sergio Ramos and David de Gea, reiterated the claims that Benzema is going nowhere this summer.
"People are asking me about different players that maybe we will buy," he said.
"And I say always the same, it is their player and I will not talk about that. In this case, Karim is our player but I won't talk about that. But I'm sure he will stay with us."
The build-up to the game against City was dominated by talk of a falling out between Benitez and star forward Cristiano Ronaldo, who was overheard criticising the coach when one of his goals in training was ruled out.
And he maintained the same theme after watching the former Manchester United man hit the back of the net in the comprehensive victory in front of 99,000 fans.
"People were talking about something that happened in a training session," Benitez said.
"He's happy, he's playing well and winning man of the match. So everything is fine. In football you just have to concentrate on the future and the future is quite positive."
Next up for Madrid are matches against AC Milan and Inter in the Chinese leg of the International Champions Cup.