Heat 2 tablespoons olive oil in heavy large skillet over medium heat. Add shiitake mushrooms and sauté until soft, about 4 minutes. Add garlic and stir 1 minute. Add whipping cream and bring to boil. Reduce heat to medium and simmer sauce until thickened, about 4 minutes. Stir in Gorgonzola cheese and chipotles. Season sauce to taste with salt and pepper. DO AHEAD Sauce can be made 2 hours ahead. Let stand at room temperature.
Sprinkle steaks with salt and freshly ground black pepper. Heat remaining 1 tablespoon olive oil in another heavy large skillet. Cook steaks in skillet until brown on both sides and cooked to desired doneness, about 5 minutes per side for medium-rare. Rewarm sauce. Transfer 1 steak to each of 8 plates. Pour sauce over steaks and serve.