Preheat the oven to 200°C, 180°C fan, Gas Mark 6. Rub 4 flat mushrooms with a little olive oil and carefully remove the stalks keeping the mushroom caps intact and place on a foil lined baking sheet.
Divide 150g Danish blue cheese between the mushrooms. Roughly chop 50g walnuts and sprinkle over the cheese. Place in the oven and cook for 15 minutes.
Meanwhile toast the cut sides of 4 Everyday Value white rolls and slice ½ a red onion. Put the cooked oozing mushrooms into the toasted rolls and top with the sliced onion to serve.