Benzema struck twice in their 4-3 semifinal first-leg defeat at Manchester City on Tuesday night.
He said, "A defeat is never good because we are really excited about the Champions League. The most important thing is we never lay down our arms, we are all in this until the end. Now we have to go to the Bernabéu and we will need our fans like never and we are going to do something magical, which is win.
"We are going to say we lacked a bit of everything in this game – a bit of ambition, pressure, confidence."
Benzema was happy to take and convert his penalty on the night.
He added, "I always have it in my head that if you don't take a penalty, you will never miss a penalty. That's mental confidence and that's all. I have a lot of confidence in myself... so I do it and it turns out well."
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