Preheat oven to 230 degrees C. Line a baking tray with foil and spray it with cooking spray. With a damp cloth, wipe the mushrooms making sure to get off any excess dirt. Trim the stem so the mushroom will sit flat.
Wrap 2 pieces of bacon around each mushroom, tucking the ends under the stem. Place the mushrooms on the baking tray. Bake for 10 to 15 minutes. Remove mushrooms from baking tray to paper towel to drain.
Spread 1 1/2 teaspoons of the horseradish sauce over each of the buns (adjust to your own taste). Place 1 piece of lettuce and 1 slice tomato onto each bun. Place one mushroom burger on each bun.