The result extended the Portuguese club's miserable record of lost European finals to seven, and came just days after a similar late defeat to Porto which effectively ended their hopes of a domestic league title.
After Branislav Ivanovic's looping header in added time snatched victory for Chelsea, Jesus said: "Obviously it is a difficult time.
"My players did not deserve to lose this game and, emotionally, it feels like they have been gunned down. It is not easy to take but we have to recover."
Oscar Cardozo's well-taken penalty had cancelled out a Fernando Torres opener, and the Lisbon giants looked the more likely winners until Ivanovic stuck in the 93rd minute.
"We showed we would have been worthy winners," Jesus added. "For most of the 93 minutes we were better than Chelsea. Small details could have given us the victory but we couldn't manage to do it."
Jesus has agreed a contract extension with the Benfica president, although he admitted he has yet to sign the deal and could keep his options open.
"I have a very close relationship with the president," he said. "I have been talking to him over the last few weeks about renewing my contract.
"We have agreed most of the details but football changes every day. This defeat will lead me to have some time to think about these issues."