Preheat oven to 350°. Spread hazelnuts on baking sheet and toast in oven until aromatic - about 10 minutes. Rub hazelnuts with a kitchen towel to remove their papery skins. (I scoop up a handful or so at a time and rub them together in the towel.) Chop coarsely and set aside.
Combine red wine/vinegar, oil, salt, pepper, thyme, and fennel seeds in a skillet . Heat over low heat until barely bubbling. Do not allow to simmer. Add mushrooms and heat just until mushrooms begin exuding moisture, about 5 minutes.
Transfer to a bowl and stir in chopped nuts. Cover and refrigerate for at least 2 hours, preferably overnight.