Preheat the oven to 500 degrees F (260 degrees C). Place a large, oven-proof skillet in the oven as it preheats.

Bring steaks to room temperature. Rub with olive oil and season generously with salt and pepper.

Remove the hot skillet from the oven carefully and place it on a burner set to high heat. Leave the oven on.

Place steaks into the dry pan immediately and sear, turning with tongs, 1 to 2 minutes on both sides.

Transfer the pan back into the preheated oven and cook until desired doneness is reached, 3 to 5 minutes. For medium doneness, an instant-read thermometer inserted into the centers should read 140 degrees F (60 degrees C). Transfer steaks to a warm platter and tent loosely with foil. Let rest for 5 to 10 minutes; the steaks will continue to cook during this process and the internal temperature will rise 5 to 10 degrees.

Meanwhile, heat butter in a medium saucepan over medium heat. Add shallot and garlic and saute until shallot is tender, 5 to 7 minutes. Pour in cream; let cook until reduced by half, about 10 minutes. Turn heat to low and add Gorgonzola cheese. Let cheese melt; season with salt and pepper. Serve sauce with steaks.