Preheat the Oven: Preheat your oven to 350°F (175°C). Grease a baking pan or line it with parchment paper.

Prepare the Dough: In a large bowl, combine all-purpose flour, cocoa powder, sugar, salt, baking powder, and baking soda. In a separate bowl, mix milk, melted butter, blue food coloring, and vanilla extract. Gradually incorporate the wet ingredients into the dry ingredients until a dough forms. Knead until smooth and elastic, and then roll it into a rectangle on a floured surface.

Create the Filling: Sprinkle a layer of chocolate cookie crumbs evenly over the dough rectangle. Reserve some crumbs for topping.

Roll and Cut: Tightly roll the dough from one long edge to the other to form a log. Cut the log into equal pieces, about 1-2 inches thick, and place them cut-side up in the prepared pan.

Bake the Rolls: Bake in the preheated oven for 20-25 minutes until golden brown.

Prepare the Frosting: Beat the softened cream cheese until fluffy. Gradually add powdered sugar and heavy cream, mixing until smooth.

Assemble and Serve: Drizzle the cream cheese frosting over the warm rolls. Sprinkle the remaining chocolate cookie crumbs over the frosting. Serve warm.