The Hoops manager fears the defender will make a move to the USA during the transfer window, after receiving an offer from DC United
The 35-year-old has been linked with a coaching role in the USA with former club DC United, having made 81 appearances for the MLS outfit during his time there.
And Redknapp admits he thinks it very possible that Nelsen will make the move despite him being in the middle of a one-year contract with the Loftus Road club.
"He has been offered a job in America,” he told BBC Sport. “and I think there is every chance he might want to go.
"To lose him would be a massive blow. I'll speak to the owner and we'll try [to keep him] but it is difficult."
Nelsen signed for QPR from Tottenham in June 2012 and has since made 17 appearances for Redknapp’s men.
"He has been fantastic.” he explained. “I took him to Tottenham last year from Blackburn. He's one of the best pros I've ever met in my life, a fantastic player, a great trainer, a leader.
"He is a massive part of your team [but] he wants to be a manager and it is a chance for him to manage a club."