Benfica held Juventus to a scoreless draw in the second leg of their semi-final tie in Turin - the first time Antonio Conte's men had played out a goalless stalemate in all competitions since November 2012.
The result was enough for the Portuguese champions to reach the final after their 2-1 win in the opening leg last week.
After falling to Chelsea in last season's decider, Benfica have another chance to claim silverware when they face Sevilla in the final at Juventus Stadium on May 14 and Jesus was in no doubt as to who deserved to advance.
"Benfica earned the final because we played better in both legs, better than Juve in Lisbon and Turin," Jesus told Sky Sport Italia.
"Juve are a good team, but defensively Benfica played very well.
"We had the advantage from the first leg and controlled all their movements in the second leg. We deserved to reach the final because we were better than Juve."
Despite the absence of goals, there was still plenty of action in Italy, with three players sent off during the clash.
Benfica's Argentine midfielder Enzo Perez was the first to go on 67 minutes after his second bookable offence, ruling him out of the final.
Jesus will also be without Serbian striker Lazar Markovic, who was sent off during the closing stages following a touchline altercation with Juventus substitute Mirko Vucinic, who also received his marching orders despite not being on the pitch.
"I thought it wasn't easy to make up for these situations with Juve attacking, but we knew that we had to stay calm and our players maintained their heads," he said.
"I think Benfica gave a masterclass on how to defend and it's not easy with nine men on the field against (Dani) Osvaldo, (Carlos) Tevez and (Fernando) Llorente."
