Jesus is reminded on a daily basis of the European Cup triumphs of 1961 and 1962 especially considering that, despite reaching six continental finals in the meantime, the Portuguese giants have come up short for more than 50 years.
Jesus told UEFA.com: "I know that Benfica's great moment in sporting history was in the 1960s. I was born in 1954, but I know the history of the club because I have read about it and it is illustrated in photos at the training ground.
"Winning the Europa League would be a very important moment in the club's history, and for the players and staff.
"Getting to the final is a great achievement in itself but coming away victorious would be even greater.
"Benfica are always under pressure when they play and we know that in every competition we take part in, the aim is to get to the final and win."
The 58-year-old coach is relishing the opportunity to tackle last year's Champions League winners Chelsea, who boast a pair of Benfica graduates, in Amsterdam.
"It's our pleasure to face Chelsea, to share a final with opponents that were once my players," he added.
"They have David Luiz and Ramires, but I'm not forgetting about Paulo Ferreira and Hilario. That is an important thing to note, and we're happy to meet them in the final."
Argentinian midfielder Nicolas Gaitan, who has appeared in all eight of Benfica's Europa League matches, is eager to help the current crop of Eagles make history.
He said: "I know that it has been a long time since Benfica reached a European final.
"I know that they are a team with a lot of victories in the past. Now we have a chance to achieve that as well. So in terms of history, the time is now.
"It doesn't matter if you win two games here or three games there, it's all about how you play and what happens on the day [of the final]. You have to do well on that day and nothing else."
The 25-year-old added: "You've been watching this since you were a child and now it is a reality and you've made it.
"I am very happy, because you dream about this as a child. Now that we are here, we want to win it, and I am sure it's the same for Chelsea."