Beat cream cheese at medium speed of electric mixer until light and fluffy; gradually add sugar, beating well. Add cocoa, butter, and vanilla; mix well.
Shape mixture into 3/4-inch balls, and place on waxed paper. Chill 1 hour.
Using 2 forks, quickly dip balls, one at a time, into warm coating mixture. If necessary to maintain coating consistency, add a small amount of warm milk. Place on waxed paper; refrigerate until coating is firm.