Crush cookies into fine crumbs using a food processor or rolling pin for a smooth texture.
Combine cookie crumbs, cocoa powder, powdered sugar, and chopped nuts in a large bowl.
Add softened butter and vanilla, mixing until the mixture starts to come together.
Add milk gradually and mix until the dough is thick, moist, and rollable.
Chill the mixture for 20–30 minutes to make shaping easier.
Roll into bite-sized balls and place on a parchment-lined tray.
Roll each ball in powdered sugar until fully coated.
Chill again briefly until firm, then serve or store.