In a large mixing bowl, combine cream cheese, crushed Oreo cookie crumbs, protein powder, milk, and vanilla extract. Use an electric mixer on medium speed for 2-3 minutes until smooth and creamy.

Check the consistency of your mixture; it should be thick but pliable. Adjust by adding milk one tablespoon at a time if too dry.

Portion out about 1-inch amounts of the mixture. Roll each portion into smooth balls and place them on a parchment-lined baking sheet.

Transfer the baking sheet to the refrigerator and chill for at least 30 minutes.

Once chilled, enjoy immediately or store in an airtight container in the refrigerator for up to one week.