Preheat the oven to 475 degrees .
In a large bowl, combine half the olive oil, the rosemary and fennel seed; season with salt and pepper. Add the chicken and turn to coat.
On a large rimmed baking sheet, toss the Brussels sprouts, pancetta, wine, lemon, shallots, garlic, sage and the remaining 2 tbsp. olive oil; season. Spread out in an even layer. Nestle the chicken thighs, skin side up, among the sprouts.
Roast until the sprouts are tender and the juices in the chicken run clear when pierced with a knife, 20 to 25 minutes.