"Every game is important until the end of the season. Obviously this one, if we win we will be in the top three again," Benitez said.
"We know that we have to concentrate, get three points and be ready for the next challenge on Sunday (at Liverpool)."
Frustrated with their loss at Wembley, Benitez added: "It was a surprise because I thought we were ready physically and mentally.
"We had to adapt things at half-time. We conceded an early goal (in the second half), but after you could see the reaction of the team.
"That means we were ready, but you have to start from the beginning, not just the second half."
With just one league defeat in 23 against the Cottagers, Benitez hopes to continue this run with a win on Wednesday.
"We have to improve our form away," he Spaniard said.
"A derby's a derby, everything can happen. Hopefully we can do well and we can keep the history with us."