With the Primeira Liga title and Taca da Liga already won, Jesus' side could make it four trophies in one season if they can win the Taca de Portugal and UEFA Europa League finals in the next nine days.
Victories in both competitions would take the 59-year-old's trophy tally to eight since taking over at the club in 2009, and the squad are working hard to make it a reality.
"We are motivated by the triumphs and titles we have already achieved," he said. "We are making history, but we still have two titles to get and hopefully we'll get them.
"I and the players want to have titles on our CV. We work at it every day and the Europa League is a goal that we would like to achieve."
Benfica face Rio Ave - who they defeated 2-0 in the Taca da Liga final this week, but first play Sevilla in the Europa League on Wednesday, and Jesus is keen for the club to go one better than last season - when they were beaten by Chelsea in the final.
"Benfica has been in nine finals and won two and this is what makes the history of Benfica," Jesus added.
"Now comes the tenth. The players and coaches play for moments like this."
