Preheat oven to 375°F.
Line a rimmed baking sheet with parchment paper. In a small bowl, soak the bread pieces in the milk.
Heat EVOO, a turn of the pan, in a medium skillet over medium to medium-high heat. Add celery, onion, carrot and garlic, season with salt and pepper, and sauté to soften, 10 minutes, stirring frequently. Pour in sherry and stir. Let reduce by half. Turn off heat and let cool.
Meanwhile, place ground beef in a bowl and add cheese. Wring out the bread and add it to the meat, crumbling it into small crumbs over the bowl. Add cooled veggies and season with salt, pepper, mustard, cayenne and Worcestershire. Add eggs then mix with your hands to combine.