In a small saucepan over low heat, warm the milk.
In a nonstick skillet, heat the canola oil over medium heat. Add the onions and saute for about 3 minutes. Add the sliced mushrooms and saute another 3 minutes. Stir in the flour and continue to cook another 2 to 3 minutes.
Whisk in the warmed milk. Continue to cook. Stir frequently until thickened, about 3 minutes. Add chives, pepper and sherry, if desired. Keep the mushroom sauce warmed over low heat until served.