The Lisbon club cruised into the semi-finals of Europe's second tier club competition as a Rodrigo double ensured a 2-0 success - and 3-0 on aggregate - for last season's beaten finalists.
Full-back Silvio was taken off on a stretcher in the second minute though, after he collided with team-mate Luisao as both players attemped to tackle AZ's Roy Beerens.
Jesus confirmed that Silvio has sustained a broken leg and will require an operation.
And, despite a fine performance from his side, Jesus admitted that the mood in the Benfica camp was not one of celebration.
"Silvio has fractured his tibia. It will require an operation," Jesus said.
"I'm sure he will come back. He is a player with a very large passion for Benfica.
"In the locker room we are not happy. We feel bitterness at the injury of Silvio."
Still, Jesus was quick to hail Benfica for the achievement of securing a place in the last four.
"There are not many teams that reach the semi-finals or quarter-finals in Europe. It is good for Benfica," he added.
Benfica will find out who their semi-final opponents are - which will be one of Juventus, Valencia or Sevilla - on Friday.
