We clean the mushrooms well, removing the feet (which we save for another preparation: a sauce, a cream, etc.) and remains of earth. We cut the hole of each mushroom with a lace to make it bigger and there is room for more filling. Season and reserve.
Heat a little extra virgin olive oil in a frying pan and fry finely chopped leek over low heat until tender. Add the flour and stir to integrate before adding the milk. Cook for a few minutes until thick. Add the crumbled blue cheese, season to taste and remove from the heat.
Fill the mushrooms and cook in the oven, preheated to 200º C with heat up and down, for ten minutes. Serve immediately sprinkled with a little more blue cheese and black pepper.