The Portuguese side earned a 3-1 win at the Stadium of Light on Thursday night to give them a 3-2 aggregate triumph over the Turks.
"To be in the final is historic," Jesus is quoted as saying by Goal.com. "We deserved to win, we've had a fantastic Europa League.
"We knew after the first leg we had more of a team than Fenerbahce. We were convinced we could eliminate them.
"We had very strong momentum. Our opponents cannot have many arguments. We were a better team."
Benfica's reward for beating Fenerbahce is an encounter with Chelsea at the Amsterdam ArenA on May 15.