With their pre-season Asian tour close to an end, the London club have decided that the jeering directed at the Israeli player every time he touched the ball in a match against a Malaysian XI was racist and have written to the Malaysian football association.
When contacted by the Press Association this morning, the Malaysian FA said they had not received the complaint.
Agency reports from the region immediately after last Thursday's match, watched by 84,980 spectators, had said the abuse directed at Benayoun - one of the few Israelis to have played in Malaysia, a country which does not recognise Israel - was anti-semitic.
When briefing the media after the match, Chelsea suggested the abuse was a consequence of a bad tackle by the Blues midfielder.
However, having reviewed the match, they have changed their mind with the club set to fly home at the weekend.
A statement from the club read: "Notwithstanding most fans behaving appropriately on the night, we believe Yossi was subjected to anti-semitic abuse by a number of supporters at the game.
"Such behaviour is offensive, totally unacceptable and has no place in football.
"The club did not make representations at the time as it was initially unclear as to the nature of the abuse Yossi received, as several players from both teams experienced similar treatment, sometimes louder and longer. However, having taken time to consider the issue fully, it has become apparent that a formal complaint was necessary.
"Our stay in Malaysia was, on the whole, a very positive experience for all the team travelling on the pre-season tour. It is a shame, therefore, that the behaviour of a minority of supporters is also a memory we take away."
Chelsea have one more match left of their Asian tour to play - against Aston Villa in Hong Kong on July 30 - before they return home.
They played the Malaysian XI in Kuala Lumpur on July 21 before travelling to Thailand and then Hong Kong.