The 19-year old Belgian is on a season-long loan with West Bromwich Albion but there has been some talk of him heading back to Stamford Bridge now that Benitez is in charge.
But the Spaniard has dismissed those claims, saying that Lukaku will stay put at The Hawthorns to continue his development.
"We know Romelu has been doing very well for West Brom," he told The Sun.
"But it's maybe best for him to stay there where he is playing games for now, as it will be better for his future development."
Since arriving in the West Midlands, former Anderlecht star Lukaku has netted five goals in 13 Premier League appearances for the Baggies.