Preheat the oven to 350 (175 C) degrees and place racks in the center and upper third of the oven.
Spread the hazelnuts on a small rimmed baking sheet and toast 8-10 minutes. Cool.
Put the nuts in the bowl of a food processor and process a few seconds to roughly chop. Add the sugar and process again until finely chopped. Add the remaining ingredients and pulse just until a pebbly dough forms (you may need to scrape the bowl to incorporate all the flour).
Transfer the dough to a bowl, and knead it gently to form a ball. You can form the cookies right away, or cover and refrigerate 30 minutes.
Increase the oven temperature to 375 (190 C) degrees. Line a baking sheet with a piece of parchment paper.
Roll tablespoons of dough into balls and arrange on the baking sheets. Bake 16-18 minutes, rotating the pans from one rack to the other halfway through. The cookies should be firm and lightly golden brown, with slight cracks on their tops. Let them cool 5 minutes on the baking sheet.
Put the confectioners sugar and cocoa in separate bowls, shallow baking dishes or pie plates. One by one, roll the warm cookies in the sugar, then return to the baking sheet to set. Let stand 5 minutes before giving the cookies a second coating. When the cookies are cool, gently toss them with the cocoa until they're coated.
The cookies keep well in a covered container for up to a week and frozen 1 month.
To freeze: Cool the cookies. Arrange them in one layer on a parchment or waxed paper-lined baking sheet and place in the freezer until frozen. Once frozen, transfer the cookies to a covered container that's freezer proof (such as Pyrex) or stack in zippered freezer bags.