In a large bowl, combine flour, cocoa powder, yeast, sugar, and salt. Add warm water, melted butter, and the egg. Mix until a dough forms. Knead gently on a floured surface until smooth.
Let the dough rest and rise in a warm place for 30 minutes.
In a small bowl, mix 3 tablespoons softened butter, 2 teaspoons cinnamon, and 1/3 cup sugar. Spread this filling evenly over the rolled-out dough.
Roll the dough tightly, slice into 12 even pieces, and place in a greased baking pan. Let rise for another 15 minutes.
Preheat oven to 375°F (190°C). Bake for 18-22 minutes until golden. Cool slightly before spreading the icing.
For the icing: Beat 1/2 cup butter until creamy, then stir in hazelnut spread, sea salt, and powdered sugar. Add milk, 1 tablespoon at a time, until smooth. Spread over warm rolls.