Adjust the oven rack to the middle position and heat the oven to 500 degrees.

Brush the whole mushroom caps with olive oil and season with salt and pepper. Arrange them gill-side down on a rimmed baking sheet and roast until they begin to soften, about 10 minutes.

Combine the spinach and water in a large skillet over medium-high heat. Cook until the spinach is completely wilted, about 3 minutes, then drain in a colander. Squeeze out as much moisture as possible and chop the leaves coarsely.

Wipe out the skillet and heat the remaining olive oil over medium-high heat until shimmering. Add the finely chopped mushroom caps, onion, and salt; cook until the vegetables are softened and deeply browned, about 8 minutes.

Stir in the garlic and cook until fragrant. Add the sherry and simmer until the liquid has evaporated completely, which should take about 2 minutes.

Off the heat, stir in the chopped spinach, Gorgonzola, and walnuts. Season the mixture with salt and pepper to taste.

Flip the roasted whole mushroom caps over so they are gill-side up. Divide the spinach filling evenly among the caps and sprinkle the tops with panko.

Broil the mushrooms until the bread crumbs are golden brown and crisp, about 2 minutes. Serve warm while the cheese is still soft.