Nelsen is a key player for Sam Allardyce's side but, at 32, he accepts his current deal is likely to be his last at Ewood Park.
He wants to carry on playing for as long as possible, though, and has been closely monitoring the progress of the A-League, which did not exist when he began his career in the US with DC United.
And the New Zealand skipper has refused to rule out a future move to Wellington Pheonix to play under All Whites coach Ricki Herbert.
"I've still got two years left at Blackburn but after that, maybe," Nelsen told ESPN Soccernet. "I'm not sure how much more will be left in the legs after that. A lot of Australian players have gone back and done really well."
As the A-League continues to improve, Nelsen reckons a number of Australia's best players - and New Zealand's - could opt to finish their careers there.
"It's great for both countries," Nelsen added. "It's exciting for the A-League (if players return home). Hopefully some of our players come back as well and this league will improve."