The All Whites were ridiculed in some quarters before the tournament for travelling to South Africa with a squad which included part-time and amateur players. However, Ricki Herbert's side, ranked 78th in the world, carved out creditable draws against Slovakia, Paraguay and, most significantly, defending champions Italy in a memorable campaign.
It was a vast improvement on their only other FIFA World Cup appearance 28 years ago when they lost all three matches and conceded 12 goals in the process.
Nelsen, visibly shattered after yesterday's goalless draw against Paraguay, which saw New Zealand just miss out on an historic place in the last 16, expects the development to continue. Yet, whether the 32-year-old Blackburn captain is still around to help nurture it remains to be seen.
"I will reflect (on my future) after this. It has been a great six weeks with these guys," said the centre-back, who struggled through the game having been laid low by a stomach upset in the days beforehand. All the guys will have a good reflection after this and see what needs to be done.
"I'm just gutted. The boys gave everything. I suppose if you had said before the tournament New Zealand would be unbeaten in the World Cup we would have taken that but when you come so close it is pretty painful.
"It has been an incredible run - no-one in the world thought we would be unbeaten in the group and finish ahead of Italy," he continued. "It has been an amazing achievement from a bunch of great guys and I think the future is pretty good. Some of the guys will be around for another few years so the team is going to be pretty strong for a long time."
Herbert, whose future also remains in doubt after his contract expired with New Zealand's exit, had nothing but praise for his players. "I didn't think we would be so disappointed with a draw at the World Cup," he said after the Paraguay match. "We have conceded two goals in the whole of the World Cup - it is an amazing team."
Herbert, who also coaches A-League side Wellington Phoenix, has begun a well-earned holiday but he does not know what the future holds as yet. "Some people have to make some decisions and hopefully they will make them shortly," he added.
One of those people who will be making the decisions is New Zealand Football chairman Frank van Hattum. He is hopeful of retaining the coach's services, despite the inevitable influx of interest.
"He's going to get some wonderful offers and there are a lot of conversations still to go through," he said. "Ricki is so passionate about wanting to coach New Zealand and take them through to 2014 and we've worked very closely with Ricki in the last few weeks and said if he wants to carry on coaching in club football ... then we will actually facilitate that."