He helped them end a five-year wait for the Portuguese league in his first season and is on the brink of a domestic treble this term, having won the league and league cup with the Portuguese Cup final to come on Sunday.
"We have been working on this project for five years," Jesus told a press conference at the Juventus stadium where the final will be played. "We haven't just reached this point by chance.
"We feel that our work has been rewarded by getting to these finals. We always work towards getting to these big finals and it's very satisfying."
Benfica were beaten 2-1 by Chelsea in last year's final, their seventh successive defeat in European finals.
He added: "The fact that we were in last year's final gives us more confidence but it doesn't mean we will win. There is no favourite."
Jesus shrugged off references to the so-called curse of Bela Guttmann, the late Hungarian coach who led Benfica to their European Cup wins in 1961 and 1962 and said on leaving that the club would not win another continental final without him.
"Most of our players are not even aware of this," said Jesus. "It's something that has to be broken."
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