Beat butter and cream cheese in the bowl of a stand mixer until pale yellow and creamy. Gradually add 2 cups flour to butter mixture until the dough is too thick for the mixer. Stir remaining 2 cups flour into the butter mixture by hand and knead until dough falls off hands easily. Roll dough into a ball, place in bowl, cover with plastic wrap, and chill in the refrigerator for 8 hours or overnight.
Preheat oven to 375 degrees F (190 degrees C).
Stir walnuts and sugar together in a bowl. Pour milk into walnut mixture and stir to form a paste.
Turn dough onto a floured work surface and roll to desired thickness. Cut dough into 2-inch squares. Place about 1 teaspoon walnut filling in the center of each square. Roll the dough from 1 corner to the other corner around the walnut filling and transfer to a baking sheet.
Bake in the preheated oven until light brown, 10 to 15 minutes.