Toast walnuts in a dry skillet over medium heat until fragrant and golden, about 5-8 minutes (shaking pan often). Allow to cool, then finely chop.
In a skillet melt butter and sauté sage over medium heat. Remove pan from heat and stir in remaining ingredient except the walnuts. Stir until melted and creamy, place over low heat if needed until sauce is smooth.
Just before serving stir in nuts (if nuts are added earlier, they can impart a bitter flavor to the sauce).
Notes
If you prefer not to use gorgonzola, replace with any other soft cheese you like (goat, feta, brie).