Nielsen joined Rovers from Danish side BK Frem in 2007, but has not been able to break into the first team of yet.
"I've come here for six months and I will do my best to push Graeme for the first-team shirt," said Neilsen to the BBC.
"Hopefully, I will get into the team and my aim is to improve myself as a player and help the club as much as I can.
"I've worked with some great goalkeepers in my career so far both at Blackburn and at international level and I am sure working beside Colin Meldrum and Graeme Smith will be another great experience."