Line a baking sheet with aluminum foil and top it with a baking rack. Arrange the bacon in 1layer on top of the rack.
Mix together the pecans, and brown sugar with a good grinding of pepper in a small bowl. Evenly sprinkle the mixture over the bacon. Put the bacon into the oven and bake until the sugar is melted and the bacon is crisp, about 20 to 25 minutes. Remove and let cool slightly until crisp.
While the bacon is cooking, toast the rye bread and cut each slice into quarters. In a small bowl mix together the cream cheese and Worcestershire sauce. To serve, spread the toast with the cream cheese mixture and top with 1 or 2 pieces of bacon cut to fit the bread. Garnish with chopped chives and serve.