The guy has just been taken from the only environment/flock that he's ever known. It's possible that he's calling out for them. Getting no response, he just tries harder.
Also, it's only been four days (at least at time of posting). The bird is still settling and needs to get used to his new home. In this case, it's likely that he just needs to realize that your place is now his new home. There is -nothing- there, aside from his cage, that is familiar to him.
Cockatiels, unlike the other larger parrots, operate on the n-survival curve. This means that they mass produce offspring with the intention that only a few survive. So, his flighty behavior seems appropriate. The larger parrots on the other hand, seem to be much better behaved when in new territory than they later become
If you don't mind the poops, I would just let him fly, too. He's likely a) trying to find his flockmates, and b) trying to figure out where the heck he even is. Make sure he doesn't chew anything that would be harmful. Give him at least a month or two to chill and get used to his new surroundings. It will probably take that long, or longer. It definitely took that long with both my parrots when they first arrived.
Good luck. I had a common grey a few years ago. He died at the ripe old age of 18. They are really nice little birds.