Chelsea will look to gain a considerable advantage in the first leg of the Capital One Cup semi-finals against Swansea at Stamford Bridge.
After easing to the final-four, the Blues will know they face a stiff test against Michael Laudrup's side, with the first leg crucial for the home side.
The fact that Chelsea will be playing the second leg away at the Liberty Stadium is a slight disadvantage, which is exactly why they will want to carry forward as big a lead as possible.
"We want to win every game, we know it's a semi-final and we will try to be in the final," Benitez said.
"We have a lot of respect for Swansea, they are a good team and they are doing well. It could be an interesting game for the fans.
"It's important to get to the final with my team, and my team now is Chelsea. I will try to do my best for my club, if we can win every trophy I will be very pleased.
"The mentality of these players is to win every competition and every game, we will talk about it and make sure everybody is focused. The team has been doing well in terms of motivation, we are scoring goals and not conceding too many."
Benitez will be in a bit of a conundrum when it comes to team selection in the striking department, with new signing Demba Ba scoring two goals on his debut, while Fernando Torres has been slowly finding form this season.
"It's good for me because before I didn't have to think about that," Benitez added. "It will be difficult, but I'm pleased to be in this position. As a manager, you have to take responsibility and choose a player.
"Before it was about Fernando and keeping him fit. It's always important for a top side to have options, especially when you play a game every three days.
"It depends on them, how they feel and how they perform. There is no rule that you have to play one or the other, you have to manage it depending on the team.
"I was talking with Fernando and Demba. We have a lot of conversations about what I want to do and what I expect from them. We have two good options, they will compete and everything is positive in terms of the team."
Michael Laudrup will go into the game looking for a couple of goals, with even a draw being a significant advantage going into the second leg at home.
"It's a very important game for everyone at the club," Laudrup said. "But we have good confidence when we play against the big teams.
"We played four very different games over the Christmas and New Year period, and we didn't lose one -- that breeds confidence.
"The last two months have been very positive for us, we have only lost twice in that time and we have a great spirit within the squad.
"Tomorrow's (Wednesday's) game is only the first half, and we must take it one step at a time.
"We know it will be difficult over two games, but we will give it our best shot. I'm hoping that the confidence we have built up recently can help us along the way."
Nigerian duo John Obi Mikel and Victor Moses will miss the next few weeks due to the Africa Cup of Nations, while John Terry and Petr Cech are still ruled out for Chelsea.
Swansea have no injury worries, with substitute goalkeeper Gerhard Tremmel set to start in place of Michel Vorm.
Expected lineups: Chelsea: Turnbull; Azpilicueta, Ivanovic, Cahill, Cole; Luiz, Lampard; Oscar, Mata, Hazard; Torres.
Swansea: Tremmel; Rangel, Williams, Chico, Davies; Britton, Ki; Hernandez, De Guzman, Routledge; Michu.
Prediction: 2-1 to Chelsea
