Beat the cream cheese in a large bowl, together with the heavy whipping cream, erythritol, rum extract, espresso, and ⅛ cup of cocoa powder.
Chill the mixture in the fridge for 30 minutes.
Take out the mixture from the fridge and roll a spoonful of it into a ball. Cover it with the remaining cocoa powder and put each ball into separate small paper candy cups.
Put in the fridge to chill for at least an hour. Best served cold.