In the 2005–06 season, Blackburn qualified for the UEFA Cup with a sixth-place finish, but Nelsen missed the last few games after breaking his foot in a 2–0 win at Charlton Athletic. Nevertheless, his performances since arriving in England prompted much interest from rival clubs including Portsmouth, whose bid for Nelsen was rejected by Blackburn. On 1 February 2006, he started and played the full ninety minutes alongside Andy Todd in a 4–3 league victory over Manchester United at Ewood Park.