In a large saucepan, combine cocoa, sugar, milk and butter. Heat, stirring constantly, over medium-high heat until the mixture boils. Boil 2 to 3 minutes.
Remove from heat, and stir in vanilla, oats, coconut and pecans. Stir until stiff.
Drop in heaping teaspoonfuls on waxed paper. Cool.
To freeze, stack candies in single layers separated by wax paper. Place in zipper freezer food storage bag, and freeze for up to 2 months.