Add olive oil and a sliced onion to a frying pan; cook over medium heat until the onions are soft and golden. Then add the finely cut radicchio, pine nuts and salt. After a couple of minutes, add the red wine and let everything cook for around 8 minutes.
Add milk and the sliced Gorgonzola cheese to a sauce pan. Cook at low heat until the cheese is melted while regularly mixing with a spoon.
Let’s start layering our lasagne: place a couple of lasagne pasta sheets on a baking pan. Then add the pre-cooked radicchio. Finally add a layer of Gorgonzola sauce and Parmesan cheese. Repeat the layers for a couple of times.
Only add the Gorgonzola sauce and Parmesan cheese as your final layer. Then bake in preheated oven at 200 degrees for around 25/30 minutes.
Let your lasagne rest for a couple of minutes before slicing and serving.