Heat oil in a skillet over medium-high heat. Pan-fry chicken until browned, 1 to 2 minutes per side. Drain on paper towels and let cool.

Preheat the oven to 350 degrees F (175 degrees C).

Cut cream cheese into thick slices. Slice serrano peppers in half. Place cream cheese and serrano peppers over the center of each chicken thigh. Roll thighs up and wrap with bacon slices. Place in a baking dish.

Bake in the preheated oven until juices run clear, about 1 hour.