Add the milk, 2 tablespoons of sugar, and yeast to a large bowl. Allow the mixture to sit for fivtennutes, or until the yeast becomes foamy. If it doesn’t foam and smell strongly like yeast, I recommend dumping it out and starting over.
Add the rest of the sugar, melted butter, egg, and vanilla and mix until combined. My favorite tool for making doughs is a danish dough whisk, but if you don’t have one, a regular whisk would work at this point as well.
Next, add the flour and cocoa powder (if using a whisk, switch to a rubber spatula or wooden spoon). Mix just until combined.
Transfer the dough to a floured surface and knead it gently for 2 to 3 minutes, or until it forms a soft and slightly tacky dough.
Transfer the dough to a lightly oiled bowl and set it in a warm place to rise until almost doubled in size - about 1 hour.
Roll the dough out on a lightly floured surface until it is about ¼-½” thick, depending on how thick you’d like your doughnuts.
Use a round cookie cutter (make sure to flour it first) to cut doughnuts out of the dough. I used a 2.5” cookie cutter and the large opening of a piping tip to cut out my doughnuts.
Place the doughnuts onto a sheet pan and place them in a warm spot to rise for an additional hour.
Carefully transfer 4 to 6 doughnuts (depending on the size of your air fryer) to the air fryer basket. DO NOT PREHEAT OR GREASE AIR FRYER! Cook at 300°F for 7 to 8 minutes, or until the doughnuts are soft on the inside and slightly crisp on the outside. Transfer the doughnuts to a wire rack to cool completely before icing.