With an electric mixer, beat together cream cheese, lemon zest, juice, fennel and pepper at high speed until combined and creamy.
Add blue cheese, celery and almonds and beat until incorporated.
Spread and even layer of cheese mixture onto 8 bread slices. Stack slices in pairs with cheese sides up. Top with remaining slice of bread creating 4 triple-stack sandwiches.
Using a serrated bread knife, trim and discard crusts. Cut each sandwich into four rectangles. Serve immediately, or cover with damp paper towels, place in a covered container and refrigerate a few hours. For best flavor, let come to room temperature before serving.