The Portuguese giants drew the Blues in the Champions League quarter-finals.
Benfica managed to eliminate Manchester United in the group stages of the Champions League after a 2-2 draw at Old Trafford.
“Chelsea are a great team, with great players, but Benfica are also a great team and we fear no-one,” Rui Costa told Benfica TV.
“It will be a very close tie, but Benfica have a chance.
“We are amongst the eight best teams in Europe, with all merit. We could not wish to get an easy team, because there were none.
“We have to play both at home and on the road, and the fact that you play at home is getting less and less important, though it is always good to play on your stadium.
“It does not scare us that we play at the Estadio da Luz first and then at Stamford Bridge.”
