Preheat oven to 350 degrees and lightly grease a baking sheet. In a large bowl cream together butter and sugar. Mix in cocoa powder and milk.
In a medium bowl whisk together flour, salt, baking powder, and baking soda. Add dry ingredients to wet ingredients and mix until incorporated.
Roll dough into small balls (about 1 1/2-2 inches wide) and place on prepared baking sheet. Use your thumb to press down in the centers of the balls to make an indent.
Bake for 7-9 minutes until cookies look dry and start to crack a bit around the top. (I prefer to under cook mine a little bit so they stay very soft and chewy) Gently press down the centers again. Immediately place a Rolo in the center of each cookie. Return pan to oven for about 1 minute. Remove from oven and immediately place a pecan on the top of each Rolo and press down firmly so the melty Rolo squishes out around the pecan.
Serve immediately or allow to cool completely and store at room temperature in airtight container up to 3-4 days.
Store in airtight container at room temperature up to three days.