Preheat your oven to 350°F (175°C).
Line baking sheets with parchment paper.
Mix flour, cocoa powder, baking soda, and salt.
Cream butter and brown sugar until fluffy.
Add eggs and vanilla to butter mixture.
Gradually combine dry ingredients with wet ingredients.
Scoop dough and flatten in your palm.
Place one Rolo candy in center.
Wrap dough around candy completely.
Place on baking sheet, seam down.
Bake for 10-12 minutes until set.
Cool on wire rack for 5 minutes.