Melt butter in a large pot over medium heat. Add fennel, leeks, onion, and garlic; cook and stir until softened, about 10 minutes. Stir in chicken stock, potatoes, porcini mushrooms, and thyme. Bring to a boil; reduce heat to medium-low and simmer until potatoes are tender, 30 to 35 minutes.
Remove pot from the heat; stir in heavy cream, cream sherry, Worcestershire sauce, salt, and black pepper. Puree soup with an immersion blender until smooth.
Return pot to the heat. Simmer soup until warmed through, about 10 minutes.