The game had looked like going to extra-time after Oscar Cardozo levelled from the penalty spot after Fernando Torres had put Chelsea ahead on the hour mark.
But, in added time, Benfica's hearts were broken when Branislav Ivanovic rose to head home a Juan Mata corner.
"They were here two great teams, but Benfica was the best for most of the match," said Jesus.
"At times we lacked that bit of luck we deserved. We played an excellent game of football again, but we have again been penalised in a game where the only winner could be Benfica.
"It is difficult to say anything about the game, football is not logical.
"But I must congratulate everyone at Benfica, the Portuguese fans, the Benfica fans, they deserved to see us win this trophy."