The Blues are currently third in the Premier League and still have two chances of winning silverware this season in the Europa League and FA Cup.
Azpilicueta has enjoyed a prolonged run in the starting XI since Benitez took charge at Stamford Bridge and believes that the Spaniard has Chelsea playing the right way.
He told the club's official website: "The first months I was here we had Roberto Di Matteo with us and now Rafa came here and we are working very hard with him.
"We are trying to do the things that he asks and I think that we are playing well and doing the right things. When we have lost we have done a good game but when you make mistakes you pay.
"When you don't win it is difficult but hopefully we now recover the smile that is important for the team and for the future. This is the main thing, that the mentality is still strong."
The 23-year-old has made 27 appearances for the Blues this season in five different competitions.