The Uruguayan has completed his move to the Portuguese club.
The Uruguayan striker was said to be running high on the wishlist of Leeds after PSG released him as a free agent.
Cavani has also recently held talks with the Brazilian club Atletico Mineiro to discuss a potential transfer move, but he has now decided to join Benfica.
The 33-year-old will earn around 8.5 million pounds a year at Benfica, who will be playing in the Champions League next season.
It is understood that Leeds have missed out on Cavani since they will not be offering the luxury of Champions League football next term.
Leeds are in the market for attacking reinforcements after winning promotion to the Premier League.
Patrick Bamford has been the nominal striker for Marcelo Bielsa however a striker like Cavani would bolster their attacking line-up.
Brentford winger Said Benrahma has been linked with a move to Elland Road lately, with Leeds looking to sign him for around 25 million pounds.
The Algerian has had a brilliant campaign in the Championship, racking up 17 goals and 9 assists. However, Leeds could face stern competition from Arsenal and Chelsea for his signing.
It will be interesting to see how Leeds would fare in the transfer window after failing to sign Cavani.