To a small bowl, mix together oats, flour, baking soda and salt. Set aside.
In a larger bowl, whisk together brown sugar, melted butter, vanilla, milk and the egg.
Slowly fold the dry ingredients into the wet until evenly combined. Fold in the caramel chips.
Line the bottom of an air fryer safe baking pan with parchment paper. Scoop the cookie dough into the pan, using the back of a spatula to evenly smooth the dough in the pan.
Place in the air fryer basket and cook for 15 minutes (or until top is brown and toothpick inserted comes out clean.)
Remove carefully and serve warm.
Store in an air tight container on the counter for up to 5 days or freeze for up to 3 months.