Adult-only stay in Costa del Sol. Exe Estepona Thalasso & Spa is located on the western coast of Malaga. This is the gold mile between Estepona and Puerto Banus. If you’re looking for a spot with beaches and bustling nightlife, look no further. There’s lots to keep you and your family occupied at the hotel. First and foremost is the spa area, which covers more than 2,000m2 of space. There are several treatment cabins, a hammam, massage area, sauna and an exclusive marine therapeutic circuit that uses water extracted from the Mediterranean Sea.