The Blues lead Basel 2-1 from Switzerland heading into the second leg of the tie at Stamford Bridge.
However, Benitez is wary of the Swiss outfit's attacking threat that saw them score twice home and away against Tottenham Hotspur in the previous round.
"Winning a trophy is important to everyone. We are not in the final yet and we are playing against a tough team," Benitez told Sky Sports News.
"Basel will come trying to score, they did it against Spurs and I am sure they will have the same approach. They need to score.
"We have a good team and we are so close to the final we have to be concentrated. I have a lot of confidence in my players."
Chelsea won the FA Cup and Champions League last season.