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1
Preheat oven to 400 degrees F (200 degrees C). Line a 9-inch square pan with parchment paper.
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2
Trim asparagus spears to extend 1 inch past each side of the thighs.
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3
Place 1 cup of the mozzarella cheese into a bowl.
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4
Lay chicken thighs flat on a work surface. Place 1/4 cup mozzarella cheese on each thigh, followed by 3 asparagus spears. Roll thigh around stuffing; wrap 1 bacon slice around each thigh. Tie a 12-inch length of string around the bacon, ensuring bacon ends are secured. Place stuffed thighs in the lined pan.
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5
Bake in the preheated oven until no longer pink in the center and juices run clear, 30 to 40 minutes. An instant-read thermometer inserted into the middle of a thigh should read at least 165 degrees F (74 degrees C).
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6
Melt 1 tablespoon butter in a small saucepan over medium-high heat; add jalapenos. Cook, stirring regularly, until juices have evaporated, 1 to 2 minutes. Add remaining butter, melt completely, about 1 minute. Stir in flour until it starts to brown, 1 to 2 minutes. Pour in warm milk, 1/3 cup at a time, mixing completely after each addition.
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7
Bring milk mixture to a boil; reduce heat to medium-low. Simmer, stirring occasionally, until sauce thickens, about 7 minutes. Season sauce with salt and pepper. Add remaining mozzarella cheese, stir gently to incorporate into sauce.
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8
Cut strings from thighs and smother with sauce.