Benitez says he’s faced three challenges so far at the club he joined just over two years ago.
The club’s manager was appointed as the club battled to stay in the Premier League.
Newcastle went down, but returned at the first attempt.
And United secured their top-flight status last month with five games left to play.
“I have had three challenges since I came here,” said Benitez.
“The first one was to try and keep the team in the Premier League, but we couldn’t do it.
“The second one was to go up at the first attempt in the Championship, and we did it. The third one was to stay up, and we did it, and we did it early.
“So I’m quite happy overall with the challenges, but still I would like to compete for something more to be sure that we can come here and win.
“It’s not that we want to come to places against a top side, and think that if we lose 1-0 we can protect our, goal difference.
“That’s what I don’t like to do. I want to know we can win.”
Newcastle were beaten 2-1 by Watford on Saturday. Benitez’s side were punished for a sloppy first-half performance which saw Roberto Pereyra and Andre Gray find the net for the home side at Vicarage Road.
The 58-year-old doesn’t expect his team to make the same errors next season. “The good thing after one year in the Premier League is that you have more experience,” said Benitez. “If you make the same mistakes, year after year, for 10 years, that means you have one year of experience over 10 years.
“If you make a mistake and you learn the next year, then you have experience. Then another year, another lesson, and more experience.
“So we have experience now, we need to manage this – but we have experience on the pitch, and also off the pitch. So we have to manage that too.”