Preheat oven to 350 °F. Grease and line a 9-inch square pan with parchment paper so that it hangs over the sides of the pan.
For crust, beat butter and brown sugar until smooth. Beat in egg and vanilla. Stir in cocoa powder, flour, baking soda, salt and oats and press into prepared pan. Bake for 12 minutes, while preparing filling.
For filling, beat condensed milk, cream cheese, cocoa powder and vanilla until smooth. Spread over crust while still warm from the oven. Sprinkle with pecan pieces and bake for about 20 minutes, until set.
Cool before cutting.