The Spaniard, who has managed clubs such as Real Madrid, Liverpool and Chelsea, is hugely popular among the St. James’ Park faithful.
Lascelles has established himself as a key figure at Newcastle under Benitez and is enjoying working with the Spaniard.
The 24-year-old defender joined the Magpies from Nottingham Forest in the summer of 2014 and remained at the City Ground outfit on loan for the 2014-15 campaign.
The former England Under-21 international central defender has also taken a dig at former Newcastle head coach Steve McClaren for playing him in an unfamiliar position on his debut.
McClaren was the head of Newcastle from June 2015 until March 2016, and did not do well during his short spell at St. James’ Park.
“I can see why other people would want him as he is world class,” Lascelles told The Daily Mail about Benitez. “It would be a massive loss for us.
“Since he came in everything has been positive, from the reaction of the fans, the respect of the players and what he gets from the players and how we are playing.
“If he had arrived earlier last time round he would have kept us up. I have come on leaps and bounds since he has been here.”
Lascelles added about playing as a left-back against Manchester City on his debut for Newcastle: “He sent me on as left back against City away. I had never played that position before and was marking Jesus Navas. So thanks for that, Steve…"