I have visited Barcelona, Lisbon, Madrid and Rome in January in various years.
All were pleasant. Not beach weather, but light jacket. Be aware that day versus night can be very different temps. Was just in Barcelona this past January. Short sleeves one day, leather jacket that night. Lisbon was the most temperate for us, but it likely just depends on a bit of luck. Malaga gives you the option of visiting other places like Sevilla, Cordoba, even Gibraltar.
As others have said, islands are better for warmer options, but depending on what you want to do, it may be limiting.
Friends love Malta, and there is a ton to do in Mallorca.

Would help if you gave a bit of guidance on what you want to do.