The Blues were held to a 0-0 draw by Swansea in the second leg of the semi-final at the Liberty Stadium after losing the first leg 2-0 at Stamford Bridge.
Benitez said: "When you talk about this competition you have two legs; we didn't take our chances in the first leg and we didn't take our chances in this one.
"We didn't start well but after that we had chances. We didn't take the chances and credit to Swansea because they did well.
"They managed the game well and credit to them, they are in the final and hopefully they will do well.
"We had two or three chances that we could do better with, but we didn't hit the target. I think we had 15 attempts and we have to do a little bit better in attack if we want to change the game but unfortunately we didn't do it."
Chelsea now face a local derby against Brentford at Griffin Park in the fourth round of the FA Cup on Sunday.
Benitez added: "We knew it was a difficult game. Now we have another competition, we have another game. We have to do well and hopefully we can progress."