Whisk together the flour, sugar, baking soda, salt, and cocoa so no clumps remain. In a separate bowl stir together the buttermilk, oil, vinegar, and vanilla extract. Combine the wet ingredients in with the dry and stir until combined.
Slightly spray a donut pan with nonstick cooking spray. Fill with the batter. Bake at 350°F for 14-15 minutes. Allow to cool in the pan for a few minutes before removing to a cooling rack.
For the glaze, simply whisk together all the glaze ingredients. You want your cream cheese to be very soft so that your glaze will be smooth without big clumps of cream cheese. Taste and add more powdered sugar if you like. Chop up the remaining cookies for the tops of the donuts. Once the donuts have mostly cooled (they can still be a little warm, but not hot as that will melt the glaze), pour the glaze over the tops and sprinkle with cookie crumbs.