Preheat oven to 375° F. Line a rimmed baking sheet with foil and place a wire rack on top of the foil.
Cut a slit in the middle of each date and fill with blue cheese. Gently press the sides together to close the date, then wrap with a piece of bacon. Place stuffed dates seam side down on prepared wire rack.
Bake for 20 minutes or until the bacon is crispy, turning the dates over about halfway through.