The Primeira Liga pacesetters have a 1-0 advantage heading into the second leg in Lisbon on Thursday, but Jesus is keen for his side not to become complacent.
Eduardo Salvio's goal early in the second half of the first meeting gave them a crucial away win, but AZ are unbeaten in their last six away games in Europe and Jesus knows that reaching the last-four for a second successive season is not going to be easy.
"I'm sure AZ Alkmaar believe they may progress (from) this round," said the 59-year-old.
"Our players aren't thinking of the semi-finals yet.
"The victory in the first leg doesn't leave us much room for mistakes and we have to be at our best (on Thursday)."
Benfica have not lost at home to a Dutch side since 1975 when PSV recorded a 2-1 win the now defunct Cup Winners' Cup.
