Preheat the oven to 350 F. In a large bowl, combine butter with powdered sugar until fluffy. Add in flour, cocoa powder and vanilla extract, and mix until combined.
Add in the red food coloring and mix until it is fully red. Roll the cookie dough into balls, and flatten slightly. Place one unwrapped Rolo onto each piece of dough, and roll it into a ball, covering the Rolo completely.
Place the cookies onto a large ungreased baking sheet and bake for 10-12 minutes. In a shallow dish, place powdered sugar. Roll the cookies into the powdered sugar.
