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Preheat the oven to 350 degrees F. Line baking sheets with parchment paper or Silpat baking mats and set aside.
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In a medium bowl, whisk together the flour, cocoa, and salt. Set aside.
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In the bowl of a stand mixer or using a handheld mixer, beat the butter on medium-high speed until smooth, about 1 minute. Add the sugar and beat on medium-high speed until creamed, about 2 minutes. Add the egg yolk, milk, and vanilla extract, and beat on high speed until combined, about 1 minute. Scrape down the sides and up the bottom of the bowl and beat again as needed to combine.
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Add the dry ingredients to the wet ingredients and mix on low speed until combined.
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Pour the sprinkles into a small bowl. Roll the balls of dough, about 3 teaspoons of dough per cookie, then roll each ball into the sprinkles to coat. Place the dough balls on the prepared baking sheet, 2 inches apart.
