"If we win now it will feel the same to me as winning the UEFA Cup and Spanish League because it would be my first trophy in another country. That's more difficult," said Benitez.
"To work in a new country is hard. It needs adaptation and more responsibility. In Spain, it's easier for me. I know all the players and language. Here, I need my staff even more.
"My challenge is to win even more trophies, and more important trophies than the League Cup, but I see this as a first step.
"Our idea is to make this competition the first stone of a new building. We want to be in more finals in future.
"As a manager it's always a challenge to win trophies. I'm delighted I have the chance to do so in my first year. If we ever win the Premiership or Champions League, obviously it will be better. But it's a long process trying to have that kind of success.
"You can't do everything in your first year, so to have a chance to win any competition shows we're heading in the right direction."