The two sides will face off for the European silverware on Wednesday at Juventus Stadium, and Emery said their journey to the final has been something they have savoured.
And their attitude was not about to change, heading into the decider.
"This opportunity is the path we're on and that path is a process we've experienced and learned from," Emery said.
"Every moment since August, it's been a dream, an illusion, a unique objective and without thinking about it, we're here now and we'll continue enjoying it."
Sevilla was triumphant in the then UEFA Cup in 2005-06 and 2006-07, and Emery recalled dreaming of emulating that success.
"I remember watching those finals and wondering to myself, what it would be like to experience being in that situation one day," the 42-year-old said.
"Now I'm here, I'm keen to make the most of it. Opportunities appear when you're there and involved yourself and fortunately, we're here."
Benfica will be missing Eduardo Salvio and Enzo Perez due to suspension, while Silvio (knee) is also missing and Ljubomir Fejsa (foot) is in doubt.
Despite the Portuguese club's shortcomings, Emery said he feels it will not affect the outcome of the contest.
"They're important (Benfica's losses), but not decisive for their team, because they've made a lot of rotations and utilised a lot of players," he said.
"Their structure won't change and even with individual changes, their team remains the same."
Emery was moved to thank Sevilla's fans for their support, especially those travelling to Italy for the showpiece.
"Mobilising themselves in such quantity, at such distance and financial cost, is something we're really grateful to them for," he said.
"We're grateful to everyone that's come here, but also to those who couldn't make the trip. It's a time for us to experience this together, having felt their support right from the start of the Europa League campaign."
