Follow the instructions on the Puff Pastry packet to thaw the pastry.
Mix coconut, sugar, milk and vanilla in a pan and stir it on the medium heat for 5 minutes. Then cool it.
Cut pastry in 3 pieces lengthwise and roll each piece to 3 "in width.
Divide coconut mixture in 3 parts. Add yellow, green and red color to one part making 3 colored coconut mixture.
Place red coconut mixture at the center of one puff pastry piece and make a roll. Repeat this with remaining yellow and green mixture. Then cut each into 10 pieces. Press on the cookie sheet facing coconut upwards.
Bake the 30 coconut cookies for 10 minutes on non greased baking sheet.