In a large bowl, combine warm milk, sugar, and yeast. Let sit for 5–10 minutes until foamy.
Add in the egg, melted butter, and salt. Mix until combined.
Gradually add flour, mixing until a soft dough forms. Knead by hand or with a mixer for 5–8 minutes until smooth and elastic.
Place dough in a greased bowl, cover, and let rise in a warm spot for 1 hour, or until doubled in size.
Punch down the dough and divide into 10–12 equal pieces. Roll into smooth balls.
Place rolls into a greased round cake pan (that fits your air fryer) or on parchment paper. Cover and let rise again for 30–45 minutes.
Preheat air fryer to 320°F. Lightly spray the pan or basket with oil. Air fry rolls for 8–10 minutes, until golden brown on top and cooked through.
Immediately brush with melted butter while warm. Serve fresh and fluffy!