In the top of a double boiler, or in a metal bowl set over a pot of simmering water (make sure the water does not touch the bowl), melt the chocolate, stirring until it is smooth. Set the melted chocolate aside to cool for a few minutes while you prepare the rest of the ingredients.
In a bowl whisk together the goat cheese, sugar, and vanilla until it is light and fluffy. Whisk in the melted chocolate until it is well combined. Chill, covered, until it is firm, at least 1 hour.
To form the truffles, take a heaping teaspoon of the chocolate/cheese mixture and lightly roll it into a ball with your hands. Roll the finished truffles in the sifted cocoa powder, set them onto a baking sheet lined with waxed paper, and chill until they are firm, about 30 minutes. The truffles can be stored in an airtight container in the refrigerator for up to 3 days.