Preheat your oven to 350°F and line a baking sheet with parchment paper.
In a bowl, whisk together the flour, cocoa powder, baking soda, and salt.
In another bowl, beat the butter, granulated sugar, and brown sugar until light and fluffy.
Mix in the egg, vanilla, and red food coloring until combined.
Gradually add the dry ingredients into the wet mixture and mix until a dough forms.
In a small bowl, mix the cream cheese and powdered sugar until smooth. This will be your cheesecake filling.
Scoop cookie dough balls, flatten slightly, and place a small spoonful of cheesecake filling in the center.
Fold the dough around the filling to seal and place on the baking sheet.
Bake for 10–12 minutes until the cookies are set around the edges but still soft in the middle.
Cool on a wire rack before serving.