Projects aimed at characterising dark matter properties make use of very different approaches. One such approach is to look for strong gravitational lens systems. Gravitational lensed images with angular separation on milliarcsecond scales probe gravitational lens systems where the lens is a compact object with mass in the range 10^6-10^9 solar masses, i.e a supermassive compact object (SMCO). This mass range is particularly critical for the widely accepted cosmological model, which predicts many more DM halos on sub-galactic scales (< ~ 10^11 solar masses), than currently observed. The most direct way to explore these small angular scales is through the high-resolution of radio Very Long Baseline Interferometry (VLBI). We perform a pilot search, using the Astrogeo VLBI FITS image database – the largest publicly available database which contained multi-frequency VLBI data of 13828 individual sources. We identified 40 milli-lens candidates, which we followed-up with multi-frequency European VLBI Network (EVN) observations. Performing this search in a complete sample of ~ 5000 sources would allow us to constraint the abundance of SMCO in the universe with more than an order of magnitude better precision than in previous studies, and to ultimately reject many currently viable DM models.