The Azzurri fell 3-1 to last season's finalists.
"Clearly the penalty changed everything. I think we put in a great performance against one of Europe's top clubs. To start like that a goal down after 10 minutes, then we conceded a second just after we had the chance to equalise.
"The side showed character, intensity and played at a good level," said Benitez.
"Did we allow Borussia too many scoring opportunities? That's because we were chasing the game.
"We need to think positive. This is a team that is still growing and for long periods tonight we had the kind of performance I want to see in Serie A."
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