The Portuguese outfit claimed a 2-1 win in the first leg last week and Jesus has said that because the final is at Juventus's home stadium, the onus is on the Italians to progress.
"I know full well that anything could happen in Turin, as these are two great teams who can score at any moment and this leaves qualification in the balance," he told Tuttosport.
"It's only right that both sides are confident about going through, but don't forget we have one more goal. Admittedly 1-0 would've been a better result for us than 2-1, but we are aware that we faced a very strong team.
"Playing at the Juventus Stadium is an important advantage for them, but it's also true that all the pressure is on Juventus. They can't get it wrong the year that the Europa League Final is in their home stadium. All we have to do is repeat the first leg performance."
Benfica won their 33rd Portuguese league title last weekend.