In the bowl of a stand mixer fitted with the paddle attachment, beat the butter and sugars until light and fluffy. Add the eggs, vanilla and milk and beat well.
In a large bowl, whisk together the flour, cocoa powder, baking soda and salt. Slowly add the dry ingredients into the wet ingredients. Fold in the chocolate chips. Cover and chill the dough for at least 1 hour and up to 24 hours.
Preheat oven to 350 degrees. Line two large baking sheets with parchment paper.
Scoop cookie dough into 1 Tbsp. balls. Place the cookie dough balls onto the prepared baking sheet.Press one Rolo into each ball of cookie dough and top with another ball. Press the cookie dough together and smooth the seams so that you cannot see the Rolo at all. Sprinkle with sea salt.
Bake for 12-13 minutes. Allow the cookies to cool completely on the cookie sheet (they will continue to bake for a few minutes after you remove them from the oven).