The Reds won 1-0 at the Bernabeu following a Yossi Benayoun header on 82 minutes.
“We knew it would be very difficult. They were confident, we had to work very hard,” Benitez told Sky Sports.
“We had some good chances in the end with the free-kick we scored from a very good goal without (Steven) Gerrard and (Fernando) Torres in the second half.”
“In Europe it was important for us not to concede but especially here because they were scoring some goals,” he added.
“So I was very pleased with the team work and also going forward we were trying to score so in the end 1-0 is a very good result.”