In a food processor, coarsely chop the mushrooms.
Heat oil and butter in a small pot over medium heat. Add the garlic and lightly saute, about 1 minute. Add mushrooms, thyme and Worcestershire sauce, saute uncovered until the liquid that is released from the mushrooms disappears, about 10-15 minutes.
Add the chicken broth (or vegetable broth), bay leaf, salt and pepper and bring to a boil. Reduce heat to medium-low and simmer covered for 20 minutes, stirring occasionally.
Dissolve the flour in cold milk and add to the soup. Simmer for 10-13 minutes. Add the heavy cream and stir. Taste and adjust seasoning. Sprinkle with parsley and serve.