In a heavy, medium saucepan, combine the milk, rice, sugar, and orange zest. Scrape in the seeds from the vanilla bean and add the bean to the saucepan. Bring the milk to a boil, stirring occasionally. Reduce the heat to medium-low and simmer, stirring frequently, until the rice is tender and the mixture thickens, about 35 to 40 minutes. Remove the pan from the heat and discard the vanilla bean. Stir the cocoa powder and orange liqueur into the mixture. Add the chocolate chips and stir until melted. Allow the mixture to cool for 10 minutes, stirring occasionally.
Spoon the rice pudding into serving bowls. Cover and refrigerate for 2 1/2 to 3 hours and up to 1 day ahead.