Chelsea led the English Premier League strugglers 2-0 at half-time, courtesy of goals from Demba Ba and Eden Hazard, and looked to be cruising to a first home win since before Christmas.
But Rickie Lambert pulled Southampton back into the game with a header three minutes after coming off the bench and Jason Puncheon then secured a 2-2 draw with a brilliant volley.
"We should have won," Benitez said afterwards.
"We didn't take out chances when we had them. 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."
Ba opened the scoring for Chelsea in the 25th minute, after Cesar Azpilicueta curled in a cross which was deflected to the new signing, who executed an acrobatic volley to beat goalkeeper Artur Boruc.
Hazard made it 2-0 as half-time loomed, capitalising on a rebounded Ramires shot after Southampton struggled to clear their lines from a corner.
Lambert started Southampton's comeback, just three minutes after coming on as a second-half substitute. Nathaniel Clyne escaped the attentions of Hazard down the right and swung in a deep cross for Lambert, who found space between three Chelsea defenders to head past Petr Cech for his 10th league goal of the season.
Then, with 15 minutes remaining, Luke Shaw charged 50 yards own the left flank and crossed for Puncheon, who teed the ball up with his first touch and powered a volley past Cech with his second.
Chelsea beat Southampton 5-1 in the FA Cup just 11 days ago but Nigel Adkins' side arrived at Stamford Bridge with a different game-plan.
"We know Chelsea are a good side. We knew if we opened up the space they have players who can hurt you," he said afterwards.
"We came with a game-plan to be compact and frustrate the opposition. It was a big call to leave Rickie Lambert out but we wanted to make sure we were in the game.
"At half-time it was 2-0 and I said, 'stick to the game-plan'. If we had gone and chased it there was every chance we could have ended up with a score line like Aston Villa, who conceded eight here.
"We stuck at it. Rickie came on and scored the goal and what a fantastic goal it was for the second one.
"Not many teams will come back from two goals down against Chelsea."
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