Place beef tenderloin in a shallow dish. Combine teriyaki sauce, wine, and garlic in a small bowl; pour over tenderloin. Let marinate in the refrigerator for 30 minutes.

Preheat the oven to 450 degrees F (230 degrees C).

Remove tenderloin from marinade and place on a broiler pan. Discard marinade.

Cook in the preheated oven for 15 minutes. Reduce heat to 375 degrees F (190 degrees C) and continue cooking to desired doneness, 30 to 40 more minutes. An instant-read thermometer inserted into the center of tenderloin should read at least 145 degrees F (63 degrees C) for medium doneness. Let tenderloin rest while you make sauce.

Make sauce: Combine blue cheese, sour cream, mayonnaise, and Worcestershire sauce in a saucepan over low heat; stir until smooth.

Serve sauce over sliced tenderloin.