Rovers, who are aiming for a top-10 finish, were held to a 1-1 draw at Wolves over the weekend after Nelsen had put the visitors ahead and the skipper knows it was another case of two points lost.
Nelsen told the Lancashire Evening Telegraph: "That is the brutal reality of the Premier League. If you don't put away your chances it will come back to bite you.
"It was one lapse of concentration, they had a free header and they scored and I think that has been the story of the season.
"So near yet so far. It felt like we were in control. We handled their pressure well but one lapse of concentration and they get a free header.
"The really disappointing thing is a win would really have stood us in good stead. We would have been in the top 10 and it would have been a lovely position.
"That is the reality of the Premier League. It is cut throat but we do have the games to redeem ourselves."
The Rovers skipper scored his fourth goal of the campaign at Molineux on Saturday to raise hopes of just a third away league win but Sylvan Ebanks-Blake's 81st-minute equaliser caused further away day frustration.
While their hunt for a top 10 finish remains achievable, Nelsen knows that should already be sewn up after suffering countless missed opportunities on their travels this season.
Rovers entertain Arsenal a week on Monday, before a final day trip to Aston Villa, as they look to secure a top half finish and valuable extra prize money, but Nelsen's know their task should already have been made a lot easier.