Note: This cookie dough requires at least 2 hours of chilling. The cookies will be thicker the longer they chill (up to 3 days).
Whisk the flour, cocoa powder, baking soda and salt together in a medium bowl.
In a large bowl using a hand mixer or stand mixer fitted with the paddle attachment, beat the butter, granulated sugar and brown sugar on high speed until smooth and creamy, 2-3 minutes. Do not skip this step.
Add the egg and vanilla. Beat on medium-high speed until combined, another 1-2 minutes. Scrape down the bottom and sides of the bowl with a rubber spatula as needed.
With the mixer running on low speed, slowly add the dry ingredients in 3 different parts, beating well after each addition.
Scoop the cookie dough into balls, about 1 Tablespoon each. Stuff them with Rolos by making an indent with your thumb in a dough ball and placing the Rolo inside. place another ball of dough on top and roll them together to create one larger dough ball. Place on the prepared baking sheet. Repeat with all of the dough. Place the baking sheet in the fridge for 1.5 - 2 hours to chill or in the freezer for 1 hour.
Preheat the oven to 350°F. Line another baking sheet with parchment paper.
Place the cookies 3 inches apart on the baking sheet. Bake in the preheated oven for 10-12 minutes, until just set on top.
Allow cookies to cool for 5 minutes on the baking sheet then transfer to a wire rack to cool completely
Cookies remain soft and fresh in an airtight container for 7 days at room temperature.