"It is normal, after a lot of years competing for trophies," said Benitez, "I had 10 years as a player and 10 as a coach in the Real Madrid system - and to finish second is not enough.
"It is why I like to play these kind of games. We have some players here who have a very clear winning mentality but, if you want to keep this mentality, you need to win more trophies.
"You should talk with my wife, she always says that I never let the children win at anything!
"Sometimes I might let the little one win but not with the elder one!
"It's important to sign players with this mentality because it can be contagious with the players that we already have. Signing those kind of players is the key for the future.
"Seven finals and four trophies in the last four years is not bad. But because of the history of the club, everybody says we must win more.
"We need to understand that after some years without winning trophies we are now rebuilding the winning team and the winning mentality.
"I think we can introduce that again. You can see some of the players now are really hungry and that's the key."
He added: "You have to work really hard every day and analyse everything and every small detail and keep pushing the players if they make mistakes.
"A couple of days ago we gave each player a DVD showing their positives and negatives. We have been doing that all the time for the past four years.
"For example, we conceded a goal at the corner and we need to analyse why. Sometimes it can be just down to one player."