With fork, beat butter, parsley, lemon zest, garlic, 1/4 teaspoon salt, and 1/4 teaspoon pepper together in small bowl until smooth. Set aside. Wrap 1 bacon slice around each filet, overlapping ends and securing ends to filet with toothpick. Adjust oven rack to lower-middle position, place rimmed baking sheet on rack, and heat oven to 450 degrees. Heat 2 teaspoons oil in medium skillet over high heat until just smoking. Sprinkle fillet with salt and pepper. Place 2 fillets in skillet and cook, without moving, until browned and nice crust has formed, 2 to 3 minutes. Using tongs turn fillets and cook on second side, 2 1/2 minutes longer. Hold fillets on their sides and crisp bacon slightly all around. Set fillets aside on plate. Heat remaining 2 teaspoons oil in empty skillet and sear remaining 2 fillets. Transfer all 4 seared fillets to preheated baking sheet in oven. Roast 4 to 6 minutes for rare, 6 to 8 minutes for medium-rare, or 8 to 10 minutes for medium. Transfer fillets to large plate, tent with foil, and let rest for 5 minutes. Spoon some parsley-lemon butter onto each filet.