The Blues threw away a two-goal lead to draw 2-2 with the Saints at Stamford Bridge.
Benitez believes that the end result was unacceptable for the European champions at home.
"We should have won," Benitez told reporters. "We didn't take our chances when we had them. I said we would have to be more clinical and today was the same.
"We had situations where we could score. We didn't and they broke on a counter-attack. We gave them hope they could score and they did it. I was talking to the team at half time, trying to say 'we have to score a third goal'.
"I think for us we cannot be happy drawing at home. I am disappointed. When you know your players and what they can do, it is disappointing. We have to think how we can improve for the next one."
Chelsea host Arsenal in their next game on Sunday.