PSG produced an efficient performance full of attacking verve in the last-16 first leg at the Mestalla but the gloss was taken off the victory in the final minutes when they conceded a goal and had Zlatan Ibrahimovic sent off.
Even without the talismanic Sweden striker for the second leg in Paris on March 6 the Qatar-backed French side will be firm favourites to progress to the last eight for the first time since they lost to AC Milan in the semi-finals in 1994-95.
"I think that we sent a strong message," Leonardo said.
"We should not forget where we have come from, where we were a year-and-a-half ago," added the Brazilian, who played 71 games for Valencia between 1991 and 1993, scoring six goals.
"But building a team which shows this level of confidence and calm going to Valencia is a sign that we are in good shape in this competition," he said.
"Of course, the last five minutes were not ideal but today I think we achieved an historic victory."
Valencia had won all eight of their European home games against French opposition before PSG's visit and were unbeaten in nine Champions League matches at the Mestalla since a 1-0 defeat to Manchester United in September 2010.
PSG have spent around 250 million euros in the transfer market in the past four seasons and the quality of players such as goalscorers Ezequiel Lavezzi and Javier Pastore and pacy midfielder Lucas was the difference between the sides.
"PSG were very strong," Valencia coach Ernesto Valverde told a news conference.
"Every counter-attack they created lots of danger for us," he added.
"The truth is that maybe we were too naive, losing possession too much, which unbalanced the game.
"We possibly made PSG's task a little easier but we scored a goal at the end and we had other chances, so that gives us hope.
"The return will be difficult based on the strength they showed here.
"We have to look to score over there. We have to go there and try, because although the scoreline is far from positive this tie is by no means finished."