Bring a large pot of lightly salted water to a boil. Cook gnocchi in the boiling water until they float to the top, 2 to 4 minutes. Drain.
Heat olive oil in a skillet over medium heat. Add radicchio; cook and stir until softened, about 5 minutes. Transfer radicchio to a bowl and cover with plastic wrap so it continues to wilt.
Pour heavy cream into the same skillet and bring to a simmer over medium heat, about 5 minutes. Add chunks of Gorgonzola and whisk until melted and evenly incorporated, about 2 minutes. Season with nutmeg, salt, and black pepper. Stir in radicchio. Add gnocchi and toss to coat.