Rosberg was outperformed by his Mercedes team-mate Lewis Hamilton in both sessions in the principality, the Briton nearly nine-tenths quicker in FP2.
Although his times left the German disappointed, there were still some positives and with some analysis on where he can improve Rosberg is confident he can challenge for pole and the race win this weekend.
"It was a tricky start in to the weekend for us," he said. "The sessions were a bit messy, with quite a few Virtual Safety Car periods – but I was able to learn a lot on the longer runs we managed to do which was a positive.
"As expected, Red Bull look very strong here. We have some more homework to do during tonight and tomorrow to find some time – but I can't wait for Saturday and the qualifying battle.
"It should be very close and very exciting."
Hamilton was happier with his runs, but admitted the new ultra soft tyres had not had the impact he was expecting around the street circuit.
"It's been a relatively good day. No real surprises," said the reigning champion.
"The new tyres are definitely softer than the other compounds, they still feel pretty hard around here. It's not as easy to get them in the window as we would hope. But generally it's been a really positive start.
"We've got everything we needed done in both sessions and our pace looks good, so hopefully that continues through the rest of the weekend."