The European champions survived a small scare against Steaua Bucharest on Thursday to progress to the last eight of the continent's second-tier competition, again showing their fighting spirit after Sunday's FA Cup comeback against Manchester United.
Chelsea won the FA Cup last season and finished sixth in the top flight. They qualified for the Champions League at the expense of Tottenham Hotspur by winning the trophy.
They currently sit fourth in the Premier League, two points behind Spurs but with a game in hand while Arsenal are five points back. Chelsea play West Ham United on Sunday.
"Since I came here we have been playing around nine games each month and we knew that could be difficult and we know that can still be difficult," Benitez told the club's website (www.chelseafc.com).
"I prefer to have this problem because it means we are carrying on competing. A top side always wants to be in all the competitions until the end," added the Spaniard, who will leave at the end of the season.
Chelsea's progress in the Europa League alongside Tottenham and Newcastle United is in stark contrast to last season when Manchester United and Manchester City exited before the quarters.
The draw for the last eight was being made later on Friday and midfielder Eden Hazard was upbeat about Chelsea's prospects.
"Chelsea are a big club - we have to win titles and to qualify for the Champions League," the Belgian told UEFA's website (www.uefa.com). "There's a lot to do but we'll try to do it all."
Hazard's midfield colleague Ramires said the Chelsea players were fully behind Benitez despite the discontent of the supporters, a section of whom have routinely jeered the former Liverpool manager.
"There isn't anyone better than him to tell us what is best. The players try not to get involved in this issue. As long as he's here the players will seek to support him because he's our manager and we want to win," said the Brazilian.