Preheat oven to 375°.
Hollow out each roll, leaving about a 1/4-inch-thick shell; reserve torn bread for another use. Place hollowed bread shells on a baking sheet. Bake at 375° for 7 minutes or until lightly toasted. Remove the bread shells from oven; set aside.
Melt butter in a nonstick skillet over medium heat. Add onion and garlic; cook 2 minutes or until tender, stirring frequently. Add water and sherry, and cook 1 minute. Sprinkle flour over onion mixture; cook 1 minute, stirring constantly. Gradually add milk, stirring constantly with a whisk; bring to a boil. Reduce heat, and simmer 3 minutes or until thick, stirring constantly. Add cream cheese; stir with a whisk until cheese melts. Stir in lobster, juice, salt, and paprika. Spoon 1/2 cup lobster mixture into each bread shell; sprinkle each serving with 1/2 teaspoon chives. Serve immediately.