In a large pot, combine 4 cups of water, 2 cups of white rice, and 2 teaspoons of ground cinnamon.
Bring the mixture to a boil.
Reduce heat to medium-low, cover the pot, and simmer.
Cook until all the water has been absorbed, about 20 minutes.
In the pot, mix 2 cups of milk, 1 cup of white sugar, 1/2 cup of cocoa powder, 1 tablespoon of cayenne pepper, and 1 teaspoon of vanilla extract into the rice mixture.
Increase heat to high and cook, stirring constantly until thickened, 5 to 10 minutes.
Remove the pot from heat and pour the pudding into a large glass bowl.
Let the pudding sit for 30 minutes before serving.