Preheat oven to 375 degrees. Lightly butter a 2 1/2 quart casserole and set aside.
In a large skillet, melt 1 tablespoon butter over medium-high heat. Add mushrooms and cook, stirring frequently, 8 to 10 minutes. Use a slotted spoon to transfer mushrooms to a small bowl. Add sherry to bowl and set aside.
Add remaining butter to skillet and sauté onion and celery until lightly browned, about 5 to 6 minutes.
Sprinkle flour, salt, pepper, thyme, and sage over onions. Use a whisk to stir the flour/onion mixture for 1 minute.
Gradually add broth, whisking to incorporate it into flour.
Whisk in half-and-half and cook, stirring frequently, until mixture boils and thickens, about 3 to 5 minutes. Season with additional salt and pepper if desired.
Return mushrooms along with sherry to the skillet. Mix in cooked rice, chicken, and parmesan cheese.
Transfer mixture to prepared casserole dish. Top with pecans. Bake uncovered for 25 minutes, until bubbling.