Place walnuts, coconut, honey, vanilla, and salt in the bowl of a food processor and process until a granular, moist dough forms, about 1 minute.
Carefully remove the blade from the food processor. Form dough into one inch balls, place on a parchment lined baking sheet, and press down with the palm of your hand to slightly flatten the cookies. Place the sheet in the freezer for 30 minutes until firm. Transfer to a tightly sealed container and store in the freezer until ready to serve (up to 3 months).
When you are ready to eat a sandwich cookie, remove two cookies from the freezer. Smear an even layer of Nutella on one cookie and top with another. Eat immediately.