Senad Lulic's goal for Lazio at the Stadio San Paolo sent the capital club through to the final, winning the two-legged semi 2-1 on aggregate.
Napoli scored to earn a 1-1 draw at Lazio in the first leg but with the away goals not in use in the cup tournament, Benitez's men needed to score on Wednesday to advance.
And the Spanish tactician was left to rue Napoli's profligacy, as they failed to find the back of the net for the fourth match in their past five in all competitions.
"We had many goal-scoring opportunities but we didn't take advantage. We deserved better," Benitez said, as reported by Napoli's website.
"First of all, well done to Lazio.
"When it comes to the game, we had six or seven goal-scoring opportunities.
"When you don't take advantage of the opportunities, you end up conceding a goal in the end as happened today.
"Had we taken advantage of one of these opportunities, the game would have been different."
Napoli sit eight points outside of the UEFA Champions League spots in Serie A, and are even shy of the UEFA Europa League qualifying spot - held by Sampdoria - by one point.
While furious president Aurelio De Laurentiis threatened to cancel Napoli's post-season holidays after the loss to Lazio, Benitez was more interested in moving on, calling on his side to finish the season strongly.
"We now have to look ahead. The team has shown that it has capabilities by creating chances," he said.
"We now hope to create chances and take advantage of them in the next game.
"We still have nine games in the league and we need to give it our all."
Napoli host fourth-placed Fiorentina on Sunday, and can climb above their opponents in the standings with a victory.
