In a large bowl, mix together the softened butter, sugar, cocoa powder, cornstarch, and cinnamon until well blended and smooth.
On a lightly floured surface, gently roll out the sheet of puff pastry to even out any creases. You don't want the sheet too thin. Spread the chocolate cinnamon filling in an even layer over the puff pastry.
Roll the puff pastry up, short side to short side, to form a compact log. Brush the edge of the short side with a little beaten egg and pinch to seal.
Use a sharp knife to slice the log into individual rolls, about 1 inch thick. Transfer each roll to the prepared baking sheet, at least 2 inches apart. Brush the tops with the beaten egg.
Bake the rolls in the preheated oven until puffed and golden, 15-20 minutes. Transfer the rolls to a wire rack and allow to cool slightly.