Nielsen joins Herfolge
The 32-year-old has signed a two-year contract with the top-flight new boys and will also act as assistant coach.
Nielsen was offloaded by Watford after three years at Vicarage Road and admits Herfolge's long-standing interest in his services prompted his decision to sign for the club.
"It has been decisive that Herfolge showed interest in me at an early stage and that the club appear to be ready for the top flight," Nielsen told Onside.dk.
Herfolge boss Johnny Petersen is confident the former Danish international's arrival will enhance the team's prospects of surviving in the Superliga.
"Allan can give our game a lot of experience, and I am sure that he can pass on a lot of his professionalism to our many young players," Petersen told uefa.com.
"We have been chasing Allan for three months now, and his signing makes me much more confident than before regarding our chances in the Superliga."