The 32-year-old New Zealand international is still club captain at Ewood Park, but Chris Samba is now the skipper on the field.
Nelsen, who has been at the club since 2005, claims the time was right to pass the baton on to fellow defender Samba, 26, and is still happy with his current role at Rovers.
"It's no big deal," Nelsen told the Lancashire Telegraph.
"I am the club captain but no longer the captain on the park. Chris is an incredible player and at 26 it was the right time to do it (hand him the captaincy).
"I had five and a half years as captain.
"My new role as club captain is a bit like being on a board when they have an old guy who they don't want to get rid of so they find him a new job."
Nelsen has continued to feature prominently for Rovers this season and along with Samba, has started every Premier League game for the club.
Blackburn have made a solid start to the campaign and Sam Allardyce's men currently sit 13th in the table with Sunderland their next opponents.