Pound chicken slices until they are even in thickness and about 1/4-inch thick.
Spread blue cheese and walnuts on top of each chicken piece.
Roll chicken breasts over filling.
Place 2 bacon slices side by side on a work surface.
Place each chicken roll at one end of bacon slices and roll bacon around chicken; secure with toothpicks. Repeat with remaining chicken rolls and bacon.
Heat a skillet to medium-high heat and cook bacon-wrapped chicken rolls in the hot skillet until the bacon is browned and crisp, 4 to 5 minutes per side.
Transfer chicken rolls to preheated oven; bake until chicken is no longer pink in the center and the juices run clear, 25 to 35 minutes.
