The words were angry enough, but he uttered them with the weary resignation of a man who has already faced too many disappointments in his 25 years in the ring, as if his "I wuz robbed" speech was as much part of the pre- ordained ritual as the verdict which provoked it.
He is a prickly but basically likeable man, and he deserved better than the rough justice meted out by two of the three judges. One myopic official, an American, managed to give his compatriot just one of the 12 rounds, and scored seven even. That kind of indecision smacks of incompetence. This was underlined by the fact that the judge who voted for the former champion, Erkki Maronen from Finland, once boxed for the European title under the management of Neilsen's promoter Mogens Palle.
I made the veteran an overwhelming winner by 117-112 as Holmes, giving his best performance since his close loss to Oliver McCall in 1995, outboxed and outmanoeuvred the lumbering Dane. His jab was snapping into Neilsen's face as crisply and regularly in the 12th round as in the first, and a less durable opponent would surely have crumbled from the battering he took from Holmes's right uppercuts and hooks. By the end, Neilsen's homely face was a mass of minor bumps and grazes, testimony to the unerring accuracy of the Holmes jab, while the loser was unmarked.
"Why do they always do this to me?" Holmes asked plaintively as he sat with his wife, Diane, and an entourage - including two managers and an attorney - which is still of champion-sized proportions.
"I am a nice guy, but I keep getting screwed. If Neilsen won three rounds, he is lucky - even Ray Charles could see that. We both worked hard for this fight [Neilsen had shed 40lb in training] and if he deserved to win then he should get it. I'm a pro, and I have no problem with that.
"I was going to make the IBO famous, like I did for the IBF when I took their title, but then they kick my arse like this. I know it's only the IBO belt, but my son was looking forward to taking it back home on the plane with us, and I'm pissed off for him."
Self-delusion has never been part of Holmes's baggage, and the brutal honesty in which he expresses himself is as endearing to the rest of us as it is frequently embarrassing for him. "I'll lodge a protest," he said before adding with typical candour, "but who's gonna give a shit?"
And that, pithily put, is Holmes's problem. The fight was a massive commercial success in Denmark, and the country's first pay-per-view event drew around 50,000 subscribers paying pounds 25 each. Palle sold TV rights to China, Australia and a handful of European countries, but not, significantly, to the United States. Ringside seats were changing hands for pounds 500, more than three times their face value, and the show was sold out in November.
Holmes is a hot ticket in Denmark but old news at home, where the real power lies in world boxing. He will fight on, and so long as he can earn $500,000 with consummate ease as he did in Copenhagen, it is hard to offer a convincing reason why he shouldn't.
"I was supposed to fall down, but I didn't," Holmes said. " The thing is, I know how to fight and these young guys [Neilsen is 31], they don't."
He has a point, but in Holmes's case there is another dimension to the argument. He is slipping inexorably into the "good opponent" role - a name worth beating for aspiring contenders - and the man who dominated his sport for almost a decade deserves a better epitaph than that.