Heat a large cast-iron skillet over high heat or pre-heat an outdoor grill to high.
Season the steaks with salt and pepper and, working in batches, cook, turning once, for 8 minutes for medium rare. Let rest.
While the steaks are cooking, in a large skillet, heat the EVOO, one turn of the pan, over medium-high heat. Add the red onion and garlic and cook until softened, about 5 minutes. Season with salt and pepper, then add the chili powder and oregano. Stir in the tomato paste and cook for 1 minute, then whisk in the beef broth, coffee and Worcestershire sauce. Keep warm over low heat.
In a medium saucepan, bring the milk and chicken broth to a boil. Lower the heat to low and whisk in the polenta. Cook until thickened, 2-3 minutes. Stir in the cheese, chives and hot sauce; season with salt and pepper. Cover and remove from the heat.
Pour the gravy over the steaks and serve with the polenta.