Add flour and butter to a food processor and pulse until the the mixture resembles coarse meal. Add the Parmesan cheese and pulse to combine.
Transfer the mixture to a large bowl, add milk and stir. Keep in mind that this will be a fairly dry dough. Drizzle in a little more milk if you find your dough is not coming together. Turn the dough out onto a large piece of parchment paper. Form the dough into a 1 inch round log and wrap up in the parchment paper. Chill until firm (at least 1 hour).
Preheat oven to 350°F.
Line a baking sheet with parchment paper or a silpat. Cut the dough log into ¼ inch thick rounds and place on the baking sheet. Sprinkle the rounds with fennel seeds.
Bake until golden (11 – 13 minutes). Cool the shortbread on a wire rack.