The two clubs meet at Molineux on Sunday, both being in the thick of it when it comes to sorting out just who out of five clubs will be going down to the Championship.
Rovers and Wolves are both just one point above the relegation zone and both clubs know that if results from the teams below do not go their way, then it could be curtains for either side that looses.
"If you had a choice you'd probably rather be at home, of course," Nelsen told Sky Sports News.
"But it means there's going to be greater expectations on the home team and the fans are going to demand more from the home team.
"The pressure will really be on them to perform, whereas we can do what we want to do."
Steve Kean's men are undefeated in three games and managed to snatch a point against Manchester United last weekend.
Nelsen added: "I think we've had some really good results and some really good performances.
"I think going to Wolves is an exciting prospect for the lads and the guys are really looking forward to it.
"It's games (like this) that really bring the best out of you.
"I think everybody on our team is looking forward to the opportunity to show off their skills when the pressure is at its highest."