Benitez insists the club has not moved backwards, though admits they need to win a trophy.
"In 2004 the squad was worth, what, £100 million? Now perhaps we have one player worth that," he told The Times. "The whole squad? Maybe £250 million.
"The club was nearly sold for £85 million five years ago. Now the price is £500 million. We must be doing something right.
"We are much better now than we were three or four years ago in every single thing - in the commercial department, the marketing department, in football.
"The majority of the fans, especially the ones who go to the stadium, realise the team is working and improving, and is better than before. To achieve 86 points in the league last season is part of the progression. The direction of the club is right. But everyone wants to win and we are disappointed when we don't win any game or any trophy."