In a small bowl, mix together the heavy whipping cream and ground espresso beans. Set aside to steep.
Place the cream cheese in a medium mixing bowl and beat with a hand mixer until fluffy. Add the mascarpone cheese to the bowl and mix until combined and smooth.
Add the powdered sugar and vanilla extract to the bowl and beat until there are no lumps.
Pour the espresso whipping cream into the bowl and beat on medium speed until the dip has reached soft peaks. The more air you beat into the dip, the larger yield will be. It should be between 3.5 and 4 cups.
Scoop the dip into a serving bowl or rectangular pan. Sprinkle the top with cocoa powder. Serve with ladyfingers or vanilla wafers for dipping.