Mix the coconut, condensed milk, nuts, and vanilla extract. Roll the mixture into balls and place on a parchment paper-lined dish or sheet pan; freeze for 10 minutes.
In 20 second increments, melt the chocolate in the microwave, stirring each time until smooth. Using a fork, dip each coconut ball into the chocolate, let the excess drip off and place back on the parchment paper. Refrigerate for 10-15 minutes to let the chocolate cool and harden before serving.