Wipe mushrooms with a damp cloth and carefully scoop out the stems.
Finely chop the mushroom stems.
Heat butter in a frying pan over a medium heat and fry the garlic, shallot, mushroom stems and chillies until all juice has evaporated (about 7 minutes).
Transfer to a medium sized bowl and let cool for a few minutes.
Mix in feta, then add Parmesan, pepper and cayenne pepper, stirring well to combine.
Fill each mushroom cap with the stuffing and place on a baking tray lined with baking paper.