The Blues were cruising 2-0 at half-time, with Demba Ba scoring in his first Premier League start and Eden Hazard adding a second, with the Saints all at sea.
The introduction of Rickie Lambert proved pivotal, with Southampton's talisman equalising before Jason Puncheon levelled it up to earn the visitors a superb point - while Chelsea were booed off.
Chelsea have won just one of their last seven home games in the Premier League and Benitez says they have to finish teams off when they are dominant.
Benitez told Sky Sports News: "We have to be more clinical. At 2-0 up you have to manage the game. We have to have some experience, score the third goal and kill the game but we didn't do that."
"We had chances, we had a lot of chances again. Taking our chances has to be the key.
"We are in the top three so we will try to be as high as possible and try to get three points in the next game - that's it.
"I said we would have to be more clinical and today was the same. We had situations where we could score. We didn't and they broke on a counter-attack. We gave them hope they could score and they did it.
"I was talking to the team at half-time, trying to say 'we have to score a third goal'.
"I think for us we cannot be happy drawing at home. I am disappointed. When you know your players and what they can do it is disappointing.
"We have to think how we can improve for the next one."