Remove and chop the zest from the orange and add it to a large nonreactive bowl. Add the asparagus and cheese and toss together. Peel the orange and cut segments from the membrane. Add the segments to the bowl with the asparagus.
Squeeze the juice from the orange membrane into a small bowl and add the chives and white wine vinegar. Whisk in the olive oil and season with salt and pepper. Add the dressing to the asparagus and let sit until the asparagus is slightly wilted, about 5 minutes. Toss in the hazelnuts and serve.