Preheat your oven to 350°F (175°C) and line two baking sheets with parchment paper.

In a medium bowl, whisk together the flour, cocoa powder, baking soda, and salt. Set aside.

In a large bowl, cream together the softened butter, granulated sugar, and brown sugar using an electric mixer on medium speed until light and fluffy, about 2–3 minutes.

Beat in the egg, milk, vanilla extract, and red food coloring until combined.

Gradually add the dry ingredients to the wet ingredients, mixing on low speed until just incorporated. Do not overmix. If the dough feels too soft, chill it for 30 minutes.

For the cream cheese filling, beat together the cream cheese, granulated sugar, and vanilla extract in a small bowl until smooth and creamy. Place in the freezer for 10–15 minutes to firm up.

Scoop about 1 tablespoon of red velvet dough and flatten slightly. Add about 1 teaspoon chilled cream cheese filling in the center, then top with another small piece of dough. Seal the edges to fully enclose the filling. Repeat with remaining dough and filling.

Place filled cookie dough balls 2 inches apart on the prepared baking sheets.

Bake in the preheated oven for 10–12 minutes, until set around the edges but still soft in the center.

Cool on the baking sheet for 5 minutes, then transfer to a wire rack to cool completely.