Heat a saucepan over medium heat and when hot, add butter and let it melt. Be careful not to let it burn.
Add shallots and saute for 4 minutes until translucent.
Deglaze the pan with red wine, then season with a little freshly ground pepper to taste.
Add the demi-glace, stir and continue to cook until the sauce is thick enough to coat a spoon.
Add the crumbled blue cheese and stir until the cheese is well incorporated into the sauce.
Taste and adjust the season with pepper. I don’t think the sauce will need any salt because of the cheese but if it needs it, add a little and taste.