If eating blue cheese causes inflammation to develop anywhere in your body, make an appointment with your doctor because you may have an allergy to one or more of its ingredients. Blue cheese contains two highly allergenic substances: milk and mold.Most symptoms caused by an allergic reaction are the result of inflammation in soft tissue in different parts of the body. Your doctor may recommend allergy testing to determine the cause of the inflammation.f eating blue cheese causes inflammation to develop anywhere in your body, make an appointment with your doctor because you may have an allergy to one or more of its ingredients. Blue cheese contains two highly allergenic substances: milk and mold.