The 58-year-old, who has been in charge for four years, said the Lisbon team were the better side for most of the match and that defeat was hard to bear.
After an emotional tribute to the quality of his players, Jesus said he had been speaking with the club's hierarchy in recent times.
"In these last few weeks the club and I have been talking about the future," he told a news conference. "This defeat today will lead me to take some time to think more about these issues."
Jesus added that he was hurting as much for the fans, who had followed the team with "emotion, passion and patriotism", as for himself.
The defeat was the seventh in a row for Benfica in European finals since they enjoyed enormous success half a century ago with European Cup final wins in 1961 and 1962.
"Benfica were the better side today - more consistent and organised. Chelsea are a strong team especially on the counter-attack but in the first half we neutralised them," said Jesus.
"The game gave me pride to be in the final. Benfica showed the world they are a team with great quality and they should be proud."
Branislav Ivanovic, with a stoppage-time header, and Fernando Torres struck for Chelsea while Oscar Cardozo replied from the penalty spot.
