In a large, deep skillet, heat the olive oil. Add the onion and cook over moderately high heat, stirring, for 3 minutes. Add the sliced brussels sprouts, chile and thyme and season with salt and pepper. Cover and cook over moderate heat, stirring occasionally, until the sprouts are just tender, about 3 minutes. Add the reserved sprout leaves, cover and remove from the heat.
Meanwhile, in a large pot of boiling, salted water, cook the penne until al dente. Drain, reserving 3/4 cup of the pasta water. Add the penne to the skillet along with the pasta cooking water and cook over moderate heat, stirring to coat the pasta with the vegetables. Season with salt and pepper. Transfer the pasta to bowls, top with the Gorgonzola and serve right away.