Cook chicken breasts: Place chicken in a pot, cover with water or chicken broth, and simmer until cooked through. Drain and shred with two forks.
In a bowl, combine softened cream cheese and hot sauce until smooth. Stir in the shredded chicken, blue cheese, carrots, and scallions. Mix well.
Assemble the egg rolls: Lay an egg roll wrapper on a clean surface with one corner pointing towards you (like a diamond). Spoon about 3 tablespoons of the chicken filling onto the bottom third of the wrapper.
Moisten the edges of the wrapper with water using your finger. Fold the bottom corner up over the filling. Then, fold in the left and right corners towards the center.
Roll the wrapper tightly from the bottom towards the top to form a cylinder. Repeat with remaining wrappers and filling.
Preheat your oven to 400°F (200°C) or your air fryer to 370°F (185°C). Lightly spray all sides of the egg rolls with olive oil spray.
Oven Method: Place egg rolls on a baking sheet lined with parchment paper. Bake for 16-18 minutes, flipping halfway through, until golden brown and crispy.
Air Fryer Method: In batches, air fry for 8-9 minutes, flipping halfway through, until golden brown and crispy.
Serve immediately with blue cheese dressing for dipping, if desired.
Notes
These egg rolls can be assembled ahead of time and frozen for a quick snack or appetizer. To freeze, place uncooked egg rolls on a baking sheet and freeze until solid, then transfer to a freezer-safe bag or container.