In a saucepan, combine water, butter, sugar, cocoa and place on low heat. Cook until sugar is completely dissolved, stirring occasionally, then remove the saucepan from the heat.
Add dry milk into the chocolate mixture in small portions, stirring constantly.
Sprinkle the work surface where you will make the truffles with dry milk. Separate a small portion from the chocolate mass, roll it into a ball and roll it in dry milk. Lightly moisten the candy with water and roll it in walnuts. Make the remaining truffles in the same way.
Place the candies in the refrigerator for several hours.