Preheat oven to 450 degrees Fahrenheit.
Toss the Brussels sprouts, balsamic vinegar, olive oil, salt and pepper together.
Roast on a foil-lined baking sheet for about 25 minutes until browned (even blackened a bit)
Meanwhile, in a skillet over medium heat, sauté the butter, shallots, and walnuts together.
Add the cream and bring to a boil. Then add gorgonzola. Mix together.
Squeeze in fresh lemon juice, then mix in the Brussels sprouts.
Toss and serve with lemon zest (optional).