Malaga is for us a typical late autumn trip. November, early December, the flights from Brussels to Malaga are not expensive and there is affordable lodging. Temperatures are between 15 and 20 degrees and the sun gives you this summer holiday feeling.
For a citytrip, we usually take our Bromptons with us to explore the neighbourhoods.
There is a nice cycle path from Malaga along the coast line up to Torre del Mar, from where you can take the bus back to Malaga (with the foldable bikes in the luggage compartment of the bus).
We also took the bikes out for a ride towards Torremolinos (that's the other side), partially going via the nature reserve close to the airport. Alternatively, you can also walk along that part of the coast line and take the train direction Benalmadena.
We have not done it yet, but once we'll join the tourist crowd for the Caminito del Rey. Need to book entrance tickets well in advance.