Pour the milk into the blender and add the cocoa powder, sugar, and vanilla extract.
Blend on low speed until the cocoa and sugar are dissolved and the mixture is smooth, about 30 seconds.
Add the ice cubes to the blender and secure the lid tightly.
Blend on high speed until the ice is fully crushed and the mixture is thick and slushy, about 1 minute.
Stop the blender and check the consistency; it should be creamy and icy with a velvety texture.
Pour the chocolate slushie into glasses, garnish with additional chocolate shavings or a swirl of whipped cream if desired, and serve immediately.