Preheat oven to 375°F. Line a baking sheet with parchment paper.
In the bowl of a stand mixer, beat butter, peanut butter, and sugar for about 2 minutes on medium speed.
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 blend until light and fluffy.
In a separate bowl, sift cocoa, flour, baking soda, and salt.
With the mixer on low, add flour mixture to sugar mixture and beat until just combined.
Remove mixer bowl from stand. Shape dough into 1 inch balls. Set on the lined baking sheet.
Pour confectioners' sugar onto small plate or bowl.
Roll dough ball in confectioners' sugar and place on prepared cookie sheet about 2 inches apart. (If you want them extra chewy, chill for 10 minutes in the freezer before baking.)
Using your hand or the bottom of a kitchen glass, press the cookie dough down so that it is not rounded on top.
Bake for 8 to 10 minutes.
Allow cookies to cool to room temperature before serving.