Preheat an outdoor grill for medium-high heat and lightly oil the grate.
Place bacon in a stainless steel bowl; add venison, bread crumbs, Worcestershire sauce, milk, garlic, and cayenne pepper. Mix venison mixture using your hands and form into 5-ounce balls. Press balls with the back of a side dish to form patties.
Grill patties on the preheated grill until desired doneness is reached, about 5 minutes per side. An instant-read thermometer inserted into the center should read at least 160 degrees F (70 degrees C).