We study the transient Couette flow of an Oldroyd fluid that fills the gap between two circular cylinders when a constant torque is suddenly applied to the inner cylinder, the outer one being kept motionless. Contrarily to most former studies, the inertia of the moving boundary is not neglected. We give the exact solutions of this problem for a wide class of initial conditions and we present a rigorous asymptotic analysis for small gap devices when the initial state is stationary. The case of Grade 2 fluids is also considered and treated. We also show in some experimental tests, that the knowledge of the relaxation curve of the angular velocity of the rotor can be used to identify the parameters of the model.