Stir milk, rice, sugar, orange juice, and orange zest together in a heavy saucepan; bring to a boil, reduce heat to medium-low, and cook, stirring frequently, until the rice is tender and the mixture is thickened, 35 to 40 minutes.
Remove the saucepan from heat. Stir orange liqueur and cocoa powder through the rice mixture; add chocolate chips and stir until melted into the pudding.