Don't try to do too much. Andalucia is vast so you're only ever going to see a tiny amount in one trip. We must have been over 50 times and still have a huge list of places we've never been and would like to see.
As you're flying to Malaga, I would stay in the city, so you can walk to restaurants, wander around, also go to museums, the Gibralfaro etc - there's two 'ruins' sites in the city that are accessed separately but you might be able to get a combined ticket. If I'm staying somewhere unfamiliar, on the first day I generally just wander around and have a look in the tourist information centre for inspiration, also just follow the signposts to see where they take me.
You can get the train down the coast as far as Fuengirola, which has a castle and you can walk through parks by the river as well as walk along the seafront, so might want to do that, if your teens like shopping, there's a huge outdoor shopping mall, Plaza Mayor, that they might like, it has it's own train station on the line. Or could go somewhere like Benalmadena.
Taking the high speed line to Cordoba would also be a good trip, but you need to book in advance to get the best price. But it depends on what you and they like. The Mesquita is stunning but it might be boring to teens.
The 'cliff walk' mentioned above is El Caminito del Rey, which is a great day out. We did it when it first opened but I think it's probably easiest to do an organised tour now, especially from Malaga, when we did it, we had a hire car and there was a shuttle bus running between the start and finish.