Place mushrooms on a lightly greased 15- x 10- x 1-inch jellyroll pan. Add water. Bake at 275° for 30 minutes. Transfer mushrooms to a serving dish; reserve liquid in pan.
Melt butter in a small saucepan over low heat. Add flour; stir until smooth. Cook 1 minute, stirring constantly. Gradually add chicken broth and reserved liquid; cook over medium heat, stirring constantly, until thickened and bubbly. Stir in salt, pepper, and sherry. Pour sauce over mushrooms.