Preheat your oven to 350°F (175°C) and line a baking sheet with parchment paper.
In a bowl, whisk together the flour, cocoa powder, and baking soda.
In a separate bowl, cream together the softened butter and granulated sugar until fluffy.
Add the egg, red food coloring, and vanilla extract to the butter mixture; mix until combined.
Gradually add the dry mixture to the creamed ingredients and mix until just combined.
In another bowl, beat the softened cream cheese and powdered sugar until smooth.
Scoop out tablespoon-sized portions of the cookie dough and create a small indentation in the center.
Add a dollop of the cream cheese mixture into the indentation and fold the dough over, sealing the filling inside.
Place the filled dough balls on the prepared baking sheet, spacing them about 2 inches apart.
Bake in the preheated oven for 12-15 minutes until the tops are set but the centers remain soft.
Allow the cookies to cool on the baking sheet for a few minutes before transferring to wire racks.