Combine blue cheese with cream cheese and egg until mixture is well blended and creamy.
Spread a thin layer of this mixture over each slice of bread. Place 1 asparagus on each slice of bread and roll. Fasten with a toothpick.
Melt butter in a small pan. Roll each asparagus in the butter to coat and place in a baking sheet. Cover and freeze asparagus for 1 hour or until butter hardens and bread is firm.
Remove pan from the freezer, discard toothpicks and cut each roll in half crosswise.
Arrange rolls on an ungreased cookie sheet and bake in preheated oven at 400ºF (200ºC) for 25 minutes, turning occasionally for even browning.