In a blender, combine oats, water, cinnamon, vanilla, dates, and sea salt. Blend on high for about 60 seconds, or until oats are completely pulverized.
Line a large bowl with a nut milk bag. If you don't have one, you can use a cheesecloth, though it may not result in the creamiest possible milk.
Depending on how big your nut milk bag is, pour some or all of the oat milk into the bag or cheesecloth. Squeeze the liquid out into the bowl, working in batches if necessary.
Once you've squeezed out as much liquid as you can, transfer the oat milk into an airtight container. I like to use mason jars. The milk can be used immediately, or can be kept in the refrigerator for up to a week.