Saturday's draw at Wigan set a new Premier League record as QPR's winless start stretched to 16 games to leave them rooted to the bottom of the table.
Former Blackburn and Tottenham defender admits the unwanted record is hard for the players to take as they look to end their slump in form.
"Obviously it's not nice at all, it's astonishing to tell the truth," Nelsen told the club's official website
"There's not been many games where we've been totally out of it, we've been in a lot of games.
"But that's the fine line of the Premier League, there are no excuses."
QPR are currently unbeaten in three games under Harry Redknapp and Nelsen believes, although they have still yet to win things have improved under Redknapp.
"When a new manager comes in it's not like they have a magic wand or something just changes so it's going to take time. "But I think we've been a lot better," added Nelsen.
"We haven't lost, we've had two awkward away games and got points out of them so we have to take the positives.
"We're on a three-game unbeaten run so hopefully the win will come soon."