The Scottish champions, bidding to reach the group stage for the first time, were involved in an eventful encounter with Kayla McCoy heading them ahead after 25 minutes but Benfica hitting back with an Ana Vitoria double.
McCoy responded to level the scores again but the Portuguese side, who also hit the woodwork twice, won it on 79 minutes when Victoria Esson failed to keep a out a ball that took a looping deflection off Lisa Martinez. The winner was later credited to Benfica captain Pauleta.
Arsenal still have work to do to reach the group stages after being held to a draw by Ajax.
The Gunners had fought back to lead in the first leg of their second-round qualifier at Meadow Park but were pegged back by a late equaliser as the Dutch side claimed a 2-2 draw.
Arsenal fell behind to a Romee Leuchter effort after 17 minutes at Boreham Wood but levelled with a Stina Blackstenius strike just six minutes later.
Kim Little then gave the hosts the lead from the penalty spot just before the hour but Leuchter’s second of the evening seven minutes from time kept Ajax firmly in the tie.