Psalm 51:3 "For I know my transgressions, and my sin is always before me."
The consequence of David's murder and adultery would be with him his whole life. Though he married Bathsheba, they had to live with the death of the child they conceived in adultery.
Many times, the consequences of our own sins stay with us. There are times when just the memory of a sin I've committed is enough to bring me down. Does that mean God hasn't forgiven my sin? No. God does forgive, and in His forgiveness He forgets. He "remembers y our sins no more" (Isaiah 43:25). That's an infallible sign of a great and perfect God. His forgiveness is so perfect and so complete that the sin He forgives no longer exists. Except … in our memory.
David admits his own human failings-failings we all have. But even though we may remember our sins, that does not mean God hasn't forgiven them. He has, for the sake of Jesus' death and resurrection. This is assurance we can cling to whenever we're overcome by feelings of despair over our sin. And this assurance is rock solid!
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