Preheat oven to 400 degrees. Heat a large cast-iron skillet over high heat for 5 to 7 minutes.
Meanwhile, pat dry the filets mignons with paper towels. Brush the filets lightly all over with the oil. Combine the fleur de sel and cracked pepper on a plate and roll the filets on all sides in the mixture, pressing lightly to help the salt and pepper adhere. The steaks should be evenly coated with the salt and the pepper.
When the pan is extremely hot, add the steak and sear evenly on all sides (top, bottom, and sides) for about 2 minutes per side. You will have to turn the meat 2 times to sear all sides and about 8 minutes.
Remove the pan from the heat and arrange all the filets flat in the pan. Top each with a tablespoon of butter, and then place the pan in the oven. Cook the filets for 6 to 8 minutes for medium rare. Remove the steaks to a platter, cover tightly with aluminum foil, and allow to rest for 5 to 10 minutes.
Serve with Roquefort chives sauce.
Pour the cream into a small heavy bottomed saucepan and bring to a boil over medium heat. Simmer for about 20 minutes, stirring occasionally, until the cream is reduced by half and thickened.
Off the heat, add the Roquefort and stir until melted. Add the salt and pepper and taste for seasoning. Stir in the chives. Spoon warm sauce over the steak.