Chelsea host the game defending a 2-1 aggregate lead.
"We have an opportunity, but my concern is we'll be thinking we're in the final - it's not the case," Benitez said. "We'll play against a very good team, a team that has scored goals away, so everybody has to realise it will be tough, it will be difficult.
"I think they will come trying to score. They did it against Tottenham. I'm sure they will be offensive, they will push. They will try to score because it's the only way for them to qualify.
"I am concerned, but I'm not afraid. We know it's a dangerous team.
"We're so close to the final we have to be really focused, concentrated and not make mistakes. I have a lot of confidence in my players."