To make blue cheese chive butter: In medium bowl, use rubber spatula to fold and incorporate butter, blue cheese, chives, salt and pepper.
Section 18 inches of plastic wrap and place blue cheese chive butter about 6 inches above bottom. Take bottom portion of plastic wrap and place over blue cheese chive butter then shape butter into 1 1/2-inch cylinder.
Continue to roll butter in plastic; pinch ends of plastic wrap while rolling to tighten cylinder.
Once size and tightness are achieved, tie off loose ends of plastic wrap and chill in refrigerator 1-2 hours, until blue cheese chive butter is chilled and firm.
To make filet mignon: Bring filet mignons to room temperature, about 20 minutes; pat dry and season on both sides with rub, to taste.
Prepare grill for 500 F direct heat.
For medium-rare, place steaks on grill 3-4 minutes. Flip and cook 2-3 minutes, or until 130-140 F internal temperature is reached.
Rest 7-8 minutes before serving.
Slice chilled blue cheese chive butter into 1/2-inch pieces and place on top of filets.