Place beef in a shallow dish. Combine teriyaki sauce, red wine and garlic; pour over beef. Allow beef to marinate in refrigerator for 30 minutes.
Preheat oven to 450 degrees F (230 degrees C).
Place tenderloin on broiler pan, and cook in preheated oven for 15 minutes. Reduce heat to 375 degrees F (190 degrees C), and cook for 30 to 40 more minutes, or to desired doneness. Allow to set for 10 minutes before slicing.
In a saucepan over low heat, combine blue cheese, mayonnaise, sour cream and Worcestershire sauce. Stir until smooth; serve over sliced tenderloin.