Referee Paul Tierney pointed to the spot at St James' Park after Marcos Alonso went down under Fabian Schar's challenge.
Eden Hazard converted the spot-kick but Toon boss Benitez believed his side were unfortunate.
The Spaniard told Sky Sports: "Obviously, we wanted to stay in the game and take our chances. We were very close and the penalty's soft.
"It is a pity because we were very close."
Maurizio Sarri's team dominated possession, seeing 81 percent of the ball, and some pundits were critical of Benitez's tactics.
Even Sarri, Benitez's successor at Napoli, agreed, saying: "I have never seen Benitez with five defenders in Italy, so at the beginning I was really surprised."
But the former Liverpool and Chelsea coach said his resources demanded that style.
Benitez has been in an off-field battle with Newcastle owner Mike Ashley about bringing in new signings, but the club finished the summer £20million in profit.
Benitez said: "If we were compact we could frustrate them a bit and have chances [but] the penalty changed everything.
"We finished 10th last year and we have to try to do similar things.
"It depends on the players you have. When I was coaching Hazard you can do whatever you want."
Newcastle levelled through Joselu in the last ten minutes before DeAndre Yedlin's late own goal handed the Blues the points
Benitez's side have just one point from their opening fixtures, while Chelsea go joint top as one of only three sides to have a perfect record from three games.
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