In a large microwavable bowl, add butter, cayenne and cinnamon. Microwave on high until butter is melted, about 30 seconds. Whisk ingredients together to combine. Add walnuts and stir to coat.
Sprinkle with sugar and toss to coat walnuts. Pour mixture onto a rimmed baking sheet. Bake in center of oven for about one hour at 250 degrees F, stirring about every 15 minutes, until walnuts are a deep golden color and toasted.
Sift cocoa over warm walnuts. Let cool. Store in an airtight container at room temperature for up to 5 days.