Preheat oven to 375°F. Line a large baking sheet with parchment paper.
In the bowl of a stand mixer fitted with the paddle attachment, add butter, peanut butter, and sugar. Beat for about 2 minutes on medium speed, or until completely combined.
Turn the mixer to low and add in the egg, milk, vanilla, and red food coloring. Mix for about 30 seconds to incorporate, then turn mixer to medium-high and beat until light and fluffy.
In a separate bowl, whisk together the cocoa, flour, baking soda, and salt.
With the mixer on low, add the flour mixture to butter and sugar mixture. Mix until just combined.
Scoop dough out into 1 inch balls.
Put the confectioners' sugar onto a small plate or bowl.
Roll each dough ball in the confectioners' sugar to coat. Place onto the prepared baking sheet about 2 inches apart. (If you want them extra chewy, chill for 10 minutes in the freezer before baking.)
Using the bottom of a kitchen glass or measuring cup, slightly flatten each cookie.
Bake for 8 to 10 minutes, or until the edges are set.
Allow cookies to cool to room temperature before serving.