Preheat oven to 375 degrees. Line a cookie sheet with parchment paper.
Whisk together flour, cocoa powder, and baking soda together in a bowl. Set aside.
Using an electric mixer beat both sugars and butter in a large bowl until smooth and creamy.
Add vanilla and eggs; beating well.
Slowly add flour mixture at one tablespoon at a time, stirring well into sugar mixture and egg mixture.
Place the cookie dough into your refrigerator for about 15 minutes.
Next, using a small ice cream scoop make the cookie dough into small balls. Then place a Rolo candy into the center of the cookie dough ball. If your dough gets too sticky return it to your refrigerator to harden up slightly.
Place each cookie ball onto the lined cookie sheet, about 2 inches apart.
Bake at 375 for 7-10 minutes or until the baked cookie is slightly cracked. Allow the cookies to cool on the cookie sheet for about 2 minutes. Then transfer cookies to a wire rack to cool completely.