Preheat the grill to medium-high heat (about 450 degrees F).
Place the corn on the grill, close the cover, and grill for 10 to 15 minutes, turning every 5 minutes, or until the kernels are tender when pierced with a paring knife.
Remove the husks and cut the kernels from the cobs into a large bowl.
Add the mayonnaise, blue cheese, salt, and pepper and stir to combine. Serve, garnished with fresh cilantro.