Place mushrooms on a lightly greased 15- x 10- x 1-inch jellyroll pan.
Add water.
Bake at 275 for 30 minutes.
Transfer mushrooms to a serving dish; reserve liquid in pan.
Melt butter in a small saucepan over low heat.
Add flour; stir until smooth. Cook 1 minute, stirring constantly. Gradually add chicken broth and reserved liquid; cook over medium heat, stirring constantly, until thickened and bubbly. Stir in salt, pepper, and sherry.