Al Ain's Moroccan striker Soufiane Rahimi hit a first-half hat-trick to end a run that stretched back to September 21st and a 1-1 draw with Saudi Pro League side Damak.
"There is no such thing called overconfidence," Jesus said. "In football, you can't control what happens in the match.
"We are not used to conceding four goals and we should sit and analyse why this happened and correct it."
Al Ain held a three-goal lead by the 38th minute with Rahimi netting a hat-trick that included two penalties.
Al Hilal's Brazilian striker Malcom pulled a goal back four minutes after the break and, although playmaker Kaku scored another penalty for Al Ain in the 56th, Salem Al Dawsari's goal 12 minutes from time kept the Saudi team in the tie.
"The team is used to winning matches and this is an important competition for us," said Jesus.
"We want to reach the final and we will rectify the issues before the return leg."
The two teams will meet again in Riyadh on Tuesday with the winners facing either South Korea's Ulsan Hyundai or Yokohama F Marinos from Japan.
Ulsan won 1-0 in the first leg of their semi-final on Wednesday.
"Nothing is decided as we still have a match in Riyadh and everyone should be ready for the next match," said Al Ain coach Hernan Crespo.
"The most important thing in life and in football is to be competitive. We are very happy with the result.
"I am happy because the players made the fans happy, and I am proud of the performance."
