Even though it contains no milk?
Cocoa butter. Chocolate itself contains fat, and the milk in milk chocolate is only a part of it.
Cocoa butter (the oil/fat component of the cocoa beans) or other vegetable fats added dusring the manufacturing process.
An interesting page on cocoa butter. I was about to post that the melting point of cocoa butter is such that it is solid at room temperature but melts at body temperature, but it seems that this is not always true. That desired property comes from encouraging the formation of a particular type of cocoa butter by tempering the product.
And, since somebody always gets this wrong, let me add that cocoa butter is called that because of its consistency. There is no butter or other dairy products in cocoa butter, any more than in peanut butter or apple butter.