Heat a medium skillet over medium-low heat; arrange pancetta in skillet in a single layer. Cook, turning occasionally, until crisp, about 12 minutes. Drain on paper towels. Break into 1-inch pieces.
Put radicchio in a large bowl. Add oil to skillet; heat over medium heat. Add shallots; immediately remove skillet from heat. Whisk in vinegar, walnuts, salt, and pepper; pour over radicchio. Toss well. Top with pancetta and cheese.