Place the milk, butter, sugar, and cocoa in a medium saucepan. Place over medium heat and bring to a boil, whisking occasionally. Boil for 2 minutes. Remove from the heat.
In a large bowl, combine the oatmeal, peanut butter, vanilla, mini marshmallows, coconut, and walnuts. Pour the liquid mixture over the top and stir to combine.
Drop 2 tablespoons of the mixture onto parchment paper. Repeat with remaining mixture to create approximately 24 cookies.
Let cool for 1 hour before serving.
Make sure to drop the cookies onto parchment paper to ensure they don't stick! Wax paper or foil would also work. If you're using unsalted butter, add a half teaspoon of salt to the mixture. It'll balance the sweetness of the rest of the ingredients nicely.