There are MANY things to do around depending on how many days you have in this part of Andalusia and whether or not you have a car.
Alhaurin El grande is a small city with some very good restaurants.
Malaga is only 30 minutes away by car and in addition to the old town , you also have several places worth seeing like the Centre Georges Pompidou (it is smaller than the Paris location and can be visited in a few hours). Of course the city of Malaga is celebrating its most famous artist so you are going to want to check the Picasso foundation and/or the Picasso Museum
More information can be found here.
The city of Marbella is also close, around 35 minutes away from the studio by car.