Milk contains lecitihin, which acts like soap to keep fat globules in milk suspended (although it does slowly separate into cream and skimmed milk, which you could demonstrate with non-homogenized milk).
Lecithin and soap work by having long molecules, one end of which is attracted to water (hydrophilic) and the other is attracted to oil or air more than to water (hydrophobic). This helps the water form a double layer, with air inside and outside and the lecithin holding things together. C. V. Boys Soap-Bubble and the Forces Which Mould Them is worthwhile reading and lists numerous experiments with detergent and water that you might try with your daughter's assistance.
Ah... but you ask why cocoa interferes with bubble blowing! Here are two tentative explanations:
- The cocoa particles don't dissolve, so they "poke holes" in the soap/water/soap membrane, bursting the bubbles.
- The cocoa adheres more tightly to the hydrophobic end of the milk lecithin than does air, preventing formation of the bubble layers.
You and she could experiment to see if either are correct. Try putting something other than cocoa in the milk (you might substitute dish-washing detergent in water for milk, because it makes longer lasting, cleaner and cheaper bubble stuff). Finely shredded cellulose is hydrophilic, and powdered candle wax is hydrophobic, for example. You could try finer powders, too. If you do experiment, please post your results here - I would be interested in your findings!