All of my milling bars have a hole right through the middle of the sprocket.
The middle of the sprocket has a super hard steel slug in between the two (also hard) outer layers of the bar that the rollers ride on. The slug is held in by the ring of rivets in the middle of the nose - provided you stay inside the "rivet ring" you will be OK.
Drilling requires a carbide or carbide tipped bit, high positive pressure (don't "peck" at the hole), lots of lube coolant, and low revs, so a drill press is needed. It cannot be drilled with a portable drill.
You can use an solid (expensive) carbide bit but I use touched up masonry bits (ie cheap) as it is very easy to destroy the bit during the process.
You will need access to a diamond or green abrasive wheel to touch up the carbide.
The destruction part usually happens during the bit "break thru' the hole part of the process which is hard to control, so its better to support the nose from underneath with a piece of mild steel and not wood.