Juan Mata's 13th-minute goal gave the visitors a 1-0 half-time lead at the Boleyn which barely did justice to their dominance.
But Mata was among the culprits as missed chances kept West Ham in it and, after Carlton Cole had headed a first which stood despite Chelsea's calls for a foul, the home side went on to win 3-1.
The result does little for Benitez's chances of winning over hostile supporters, and he said: "When you are in control you have to take your chances and finish the game.
"In the first half we could have scored two or three goals. In the second half they got a first goal that was a little bit controversial and we couldn't manage."
The Spaniard refused to point the finger at compatriot Fernando Torres, who failed to make the most of a couple of half-chances and should have scored from six yards with Chelsea trailing 3-1.
"I thought the team had chances, not just Fernando," he said.
Benitez has now overseen two goalless draws and a defeat in his three games, and the coming week brings a key European date with Denmark's Nordsjaelland.
Asked what is required in the coming days, he said: "To win. It's simple. We have to keep working hard."
He did admit though that the Chelsea job might be a tougher assignment than he had envisaged.
He said: "It could be in terms of, it's a top side, it's in the middle of the season and obviously the results were not the best, so we will try improve things and it will take some times maybe. We will see."