The train line does most of the work
The C-1 Cercanías line runs from Málaga Centro-Alameda through the airport, Torremolinos, Benalmádena and Los Boliches to Fuengirola. It is frequent, cheap and takes around 45 minutes end to end.
If you are anywhere along that line, a club in Fuengirola is reachable without a car — which matters more than distance when you plan to spend an afternoon somewhere.
West of Fuengirola there is no train
Mijas Costa, La Cala, Calahonda, Marbella and Estepona are all car, bus or taxi journeys. From La Cala it is 12 to 15 minutes; from Marbella, 25 to 35; from Estepona, closer to an hour.
For residents of Elviria, Calahonda and Riviera del Sol, Fuengirola is often the closest full-service town in either direction.
The inland municipalities
Mijas Pueblo, Las Lagunas, Alhaurín and Coín sit behind the coast. Las Lagunas effectively merges with Fuengirola, so the journey is a few minutes; Mijas Pueblo is about 15 minutes downhill on the A-387.
None of these have a rail connection, so Fuengirola station acts as the rail head for a wide inland area as well as the coast.
What to weigh up beyond distance
Atmosphere matters more than a few kilometres. Some clubs are busy and loud; others are quiet and slow. Ask what a normal afternoon looks like before you commit to registering.
Ask about the process too. A club that explains its requirements clearly before you travel is telling you something useful about how it is run.