1. Preheat broiler to high.
2. Combine first 3 ingredients. Sprinkle steak with chipotle mixture. Place on a broiler pan; broil 5 minutes on each side. Let stand 5 minutes. Cut thinly across grain.
3. Heat oil in a saucepan over medium heat. Add shallots and garlic; cook 1 minute. Add flour; cook 30 seconds, stirring. Add milk; boil. Cook until reduced by half. Remove from heat; stir in cheese and remaining ingredients.