Fill a large pot with lightly salted water and bring to a rolling boil. Stir in the angel hair pasta bring back to a boil, and cook pasta over medium heat until tender yet firm to the bite, 4 to 5 minutes. Drain and keep warm.
Heat olive oil in a large skillet over medium heat. Add garlic and cook until fragrant, about 1 minute. Stir in onion and cook until softened and light brown, 5 to 7 minutes. Reduce heat to low. Pour in heavy cream and mix well. Add Gorgonzola cheese; cook and stir until melted and sauce is thickened, about 5 minutes more. Stir in walnuts.
Pour sauce into cooked pasta and toss well to combine. Serve hot.