Melt the unsalted butter in a medium saucepan over medium heat.
Whisk in the all-purpose flour and cook, whisking constantly, for about 1 minute, until a smooth, pale roux forms.
Slowly pour in the whole milk and heavy cream, whisking constantly to prevent lumps.
Bring the mixture to a gentle simmer over medium heat, whisking often, until the sauce thickens and coats the back of a spoon, about 3 to 5 minutes.
Reduce heat to low, then add the crumbled gorgonzola cheese and stir continuously until fully melted and smooth.
Season with salt, black pepper, and ground nutmeg; taste and adjust seasonings as desired.
Serve immediately over pasta, steak, or vegetables.