Nicholson made the comments Wednesday after announcing the 2014 recipients of the Order of Hockey in Canada.
"Our contingency plan would be everyone around this room today," he said while speaking to reporters at Rogers Arena. "We have none."
NHL deputy commissioner Bill Daly said in an email this week the league would re-evaluate going to Sochi "if something significant were to transpire" before Feb. 9. That's the date players are scheduled to leave for Russia.
Daly added in the email he didn't "expect that that will become necessary."
Nicholson said there has been no contact with Canadian amateur or European-based players in the event the NHL did decide against participating in Sochi.
The threat of terrorism has been top of mind recently after two suicide bombers struck the city of Volgograd in late December, killing 34 people. An Islamic militant group in Dagestan — which is located about 500 kilometres from Sochi — claimed responsibility for those attacks and has also threatened to strike at the Games.
Nicholson said his organization has been working with the federal government and Canadian Olympic Committee on security.
"We have people on the ground in Sochi. They feel it is very safe right now and we just want to make sure it stays that way," said Nicholson. "This is something that isn't new to the Olympics.
"Certainly the location here heightens it but we feel comfortable."
Vancouver Canucks goaltender Roberto Luongo said last week he won't be bringing any family members with him to Sochi, mainly because of safety.
"It's definitely on my mind, I'm not going to lie," Luongo said. "I think we're all a little bit concerned."
Nicholson said Hockey Canada has a blueprint for what it will do in the event of a terrorist attack at the Games.
"We have a detailed plan with how we'll deal with all of the players and all of the family members that go if something happens," he said.
In terms of the actual team set to go to Sochi, Nicholson said he was encouraged to see star Tampa Bay Lightning forward Steven Stamkos back practising. The 23-year-old was named to the Canadian squad despite breaking his leg in November.
"We really want to make sure he is fully recovered from this," said Nicholson, who added there is a list of five-to-eight players on standby in case of injury. "The Olympic Games are huge for Steve, it's huge for Canada but we have to make sure it's the right thing for Steve Stamkos long-term."
Nicholson didn't say whether Stamkos needed to play an NHL game before the Olympics, simply stating: "There's going to be a drop-dead date ... really that date is 24 hours before the first men's game in Sochi."
The men's Olympic hockey tournament begins Feb. 12, with Canada's first game set for the following day against Norway.
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