Preheat air fryer to 375* for 5 minutes
Cut cinnamon rolls into ½” pieces, place into a bowl and set aside.
In a large mixing bowl, whisk the eggs and butter. Add eggnog, vanilla, chopped walnuts, and baking soda and stir to combine, careful not to over mix.
Add cinnamon rolls and toss to coat
Pour mixture into a well greased Bundt pan. Cover with foil.
Place into the air fryer and cook for 18 minutes. Remove foil and cook for 2 more minutes.
While that bakes, make the frosting. In a medium mixing bowl, combine cream cheese, powdered sugar, nutmeg, and cinnamon. Use a hand mixer on low speed and mix until smooth. Next, slowly add the eggnog while continuing to mix on low.
Remove monkey bread from the oven and let cool for 5 min. Carefully remove from the bundt pan by flipping upside down onto your desired serving tray
Drizzle cream cheese frosting over monkey bread and enjoy!