Benitez's team eventually went down 3-1 on the night, which has left them third in the group, but he was still pleased with Napoli's response.
"That early penalty changed the game, because it's not easy to face Dortmund when you are 1-0 down so early," he told UEFA.com. "However, I think we played well.
"We had a great chance to equalise in the second half and immediately after that they scored their second. But we managed to stay in the game and work our way back into it with a goal from Lorenzo Insigne.
"Our mentality is to try to win every game against every opponent. We played with the right mentality today. However, we were up against one of the best counter-attacking teams in Europe and it was not easy after going behind so early."
Napoli now must either comprehensively beat Arsenal or hope that Dortmund cannot match their result in their game against Marseille.