Pour water into the protein shake. If it's too thick, wrap it in parchment paper, press it down, and freeze it.
Add protein powder, cocoa powder, nuts, and oatmeal to a bowl and mix well.
Add honey or maple syrup and milk, then knead into a dough.
Let it rest at room temperature for about 10 minutes.
Shape into small bars.
Wrap in plastic wrap or place in a container and refrigerate for at least 30 minutes.