Mix flour, cocoa powder, sugar, yeast, and salt in a bowl.
Add warm milk, egg, and butter, then knead the dough.
Knead for 10 to 15 minutes until the dough becomes smooth.
Cover with plastic wrap and let it rise in a warm place for 1 hour (first proof).
Divide the dough into 6 to 8 pieces and shape them into balls.
Place them on a baking pan, leaving space between each piece.
Let them rise for 30 to 40 minutes (second proof).
Bake in a preheated oven at 180°C for 15 to 18 minutes.