Short is a first team coach with Ferencvaros, which has just been taken over by Sheffield United chairman Kevin McCabe.
The former Rovers captain told the Lancashire Telegraph: "I didn't think I would go into coaching, but I thought if I didn't try it I might regret it. I've been given an apartment and a car, and Budapest is a great city.
"We're in the second division because the club was relegated for financial reasons, so there's a lot of pressure to get promoted.
"It's the biggest club in Hungary, and they played Newcastle a few years back and beat them 3-2.
"But we're three points clear at the top of the table at the moment and we've got a couple of English lads out here such as Paul Shaw, who I played with at Sheffield United.
"I've been involved with the first team and I'm coaching the Under 19s as well. I know a few words in Hungarian now, but a couple of the lads can translate so it's not too bad.
"I'm still training with the lads every day but I've only played a couple of games in the cup when they've fielded the youth team, because I'm 40 now.
"There's no chance of me playing in a league game!"