Preheat oven to 400º. Line a baking sheet with aluminum foil and fit it with a cooling rack. Lay bacon halves in an even layer and bake until slightly crisp but still pliable, 11 to 13 minutes.
Meanwhile, cut cucumbers, carrots, and avocado into sections roughly the width of the bacon.
When bacon is cool enough to touch, spread an even layer of cream cheese on each slice. Divide vegetables evenly between the bacon and place on one end. Roll up vegetables tightly.