Sharp told BBC Radio Nottingham the transfer was a surprise.
"I still need a few answers from Southampton because I was enjoying my time there but I have no worries about coming here," the 26-year-old striker added.
"It's a massive club with a great fanbase and I am looking forward to playing for Forest."
Sharp, whose move could be made permanent in the summer, said that after a conversation with Saints boss Nigel Adkins he had no hesitation in linking up with Sean O'Driscoll - his former manager at Doncaster Rovers.
Sharp said: "Obviously I was only two games in and have only come on for a few minutes each game but I spoke to the manager [Adkins] and it was best of me to come here, so I'm delighted to be here.
"From the short time I have been here I can see it's a good team spirit, there is good depth in the squad and there are some good players here."