Nicholson, who, for the first time in his career, has completed the full term of his contract without signing another, told setantasports.com that he has gambled with his future.
He has yet to decide where he will be playing for the next couple of year and agent Kenny Moyes is still over in Austria and Nicholson is waiting to get an update from his representative.
"I'm just waiting on a few things to happen," he said. "So I'm still not in panic mode yet."
Nicholson told setantasports.com: "I am obviously frustrated that nothing's happened yet.
"I've not put a deadline on anything.
"I know it's a bit of a risk but I will try and hold off and work out what's best for myself and, hopefully, something will come along.
"I wouldn't say it's anything about a deal or money or anything like that. I just want to try something different."