The Primeira Liga leaders go into their quarter-final second-leg with a 1-0 advantage and history on their side.
Jorge Jesus' men have not lost a European game at home in the last 11 attempts, and have won their last five games at home against Dutch opposition.
AZ should not be underestimated though - the Eredivisie side may not have reached the semi-finals of a European competition since 2004-05, but they are currently unbeaten in six away matches in Europe.
Benfica's form is in stark contrast to that of their opponents having only tasted defeat once since early November and saw the goalscoring return of striker Oscar Cardozo at the weekend.
The Paraguayan international had not found the back of the net for five months until he netted two penalties in their 4-0 victory over Rio Ave in the Primeira Liga, and Jesus hopes the frontman can maintain that form going into Thursday's match.
"Cardozo does not participate much in the team play, but the team needs a finisher," he is quoted as saying by O Jogo. "A striker lives for goals. He scored a penalty, but nonetheless they are two goals."
Eduardo Salvio's strike early in the first half last week gave Benfica a 1-0 win, and the crucial away goal makes them clear favourites to make the last four.
