Place the asparagus on a grill pan. Sprinkle with the salt and pepper. Drizzle with the olive oil. Grill the asparagus for 10 minutes just until tender-crisp.
Meanwhile combine the cottage cheese, sour cream and milk in a blender or food processor; process until smooth.
Add the lemon juice and lemon zest to the cottage cheese sauce; blend to incorporate.
Spoon the sauce over the grilled asparagus and serve.