Preheat the oven to 350°F and line two sheet pans with parchment paper.
In a medium mixing bowl, combine the flour, cocoa powder, baking soda, and salt.
In the mixer bowl, cream the butter, brown sugar, and granulated sugar until light and fluffy, 3 to 4 minutes. Add the eggs, one at a time, then mix in the vanilla extract. Slowly mix in the flour mixture just until incorporated. Place the dough in the refrigerator for 1 hour.
Scoop the dough into 1-inch balls and press a Rolo into the center of each ball, covering the Rolo with the cookie dough.
Place the cookies on the sheet pans about 2 inches apart.
Bake for 10-12 minutes until the edges are set. Transfer the cookies to a cooling rack and allow them to cool.