It's not because of the size of the houses, although they are enormous; nor the countryside that merges with the gardens; nor the views to Gibraltar and the African coast; not even the numerous facilities available for owners. The people who have bought the 230 villas scattered around the 900 hectares of La Zagaleta are there for two intangible reasons: top security and privacy.
Residents include directors of Europe's leading firms, ranging from oil companies to finance, although more recently the brains behind new technology have begun to arrive as well. So have sports stars and celebrities. However, their names are never revealed. That was implicitly agreed when they decided to acquire a villa in this exclusive complex. Nobody will give anything away.
The CEO of La Zagaleta, Jacobo Cestino, goes no further than to deny the rumours that have circulated around the Costa del Sol in recent years.
Vladimir Putin does not own a house at La Zagaleta - the rumour began because one of the owners is a Russian millionaire with the same initials. Nor does Shakira, or Cristiano Ronaldo, who recently spent a week's holiday there with his family.
Rod Stewart was seen there, but only because he had been hired to perform at a private party. He arrived, sang, was paid and left.
Novak Djokovic enjoyed a month at La Zagaleta after winning Wimbledon last year. He loved being able to train the way he used to before becoming famous: alone, without hundreds of people scrutinising his every move.
Many of the millionaires who buy a property in this complex enjoy the company of guests, and that is why celebrities are seen coming and going.
So who does have a house at La Zagaleta? Nobody will tell you. That secrecy is part of its success.
Foreign species of animals
The estate was originally owned by a Saudi entrepreneur of dubious reputation: Adnan Kashoggi, who bought it as a hunting reserve. In one of the greatest actions of irresponsible megalomania ever recalled on the Costa del Sol, he populated it with deer and other species imported from central Europe.
Nobody goes shooting at La Zagaleta nowadays, but the presence of these animals is one of the reasons the estate has to be well enclosed, because when foreign species mix with the Iberian fauna in the Serranía de Ronda it can destroy the environmental balance of the area. The animals are part of the charm of the complex, but also one of the reasons for its isolation.
When the company called La Zagaleta bought the estate from Kashoggi in 1991, it could have built 3,000 homes under town planning rules at the time. The founder, Enrique Pérez Flores, who at the age of 96 still oversees the business as honorary president, opted to go in the opposite direction to the way the Costa del Sol was developing at the time. He decided to build no more than 400 villas, and gradually.
Nearly 30 years later, there are still only 230 properties. The most modest is valued at three million euros; the most sumptuous, 25 million. Many years of development lie ahead. Only three or four residences are sold each year, but they all sell for millions of euros.
A 12.5-million-euro gem
The most recent property to be offered for sale is Salucci House, a villa with staggering statistics: a built area of more than 1,500 metres and a further 300 metres of terraces on a plot of nearly 6,000 metres, it is on the market for 12.5 million euros. "It will definitely be sold," says marketing director Óscar Nieto.
The people who buy this type of villa seem exempt from the financial ups and downs which affect most mortals, but the main problem is that there are not many of them: no more than 5,000 in the whole of Europe.
On the Côte d'Azur in France, in Greece and in southern Portugal there are complexes which compete for the same segment. The purchasers, says Nieto, take their time to decide. A sale is completed only after numerous visits. Before signing, the purchasers usually ask to spend some time alone in the house, sometimes for hours.
Of all the luxury developments in the Marbella area, La Zagaleta stands out because it is impregnable. Only those whose names are on a list can access it via one of the two entrances from the road that links San Pedro Alcántara and Ronda. The barrier does not lift until security staff have taken a note of your name, registration number and destination.
Once through, the roads wind through small valleys in the countryside and it seems impossible not to get lost. On a winter morning the only sound is that of nature. A short walk makes it easy to understand what those who invest here are looking for. Nature, tranquility, privacy.
The view from the heliport at the highest point of the estate shows how architectural styles have changed on the Costa del Sol over the past three decades, from traditional farmhouses to glass cubes which seem to be the trend these days.
Some common features are obligatory, however. All the houses must have curved Arabic-style roof tiles and can be no more than one storey high. Because of this, the basements tend to be enormous.
The heliport was used a great deal in the early days, before the toll motorway was opened, by owners who would arrive at Malaga Airport on private flights and then be transported to La Zagaleta within minutes. These days it is used above all as a departure point for excursions to places such as Doñana or Sierra Nevada.
Spanish owners are in a minority, among numerous British, Germans, Swiss, Arabs, Scandinavians and Russians, who are not as numerous as is commonly believed. Around 80 per cent only use their villas in the summer or at other holiday times.
Those who choose to live at La Zagaleta all year round enjoy the luxury of isolation, which is highly appreciated when using one of the two golf courses, which on a day out of high season may have fewer than a dozen users. "That is the real luxury," says the director of Communication, Sergio Azcona.
Buying a villa on this estate only gives you the right to enjoy the property. To access other facilities, such as the golf courses or equestrian centre, you have to become a club member. This means paying around 90,000 euros plus an annual fee of over 10,000. Then you have the right to enjoy the sporting facilities, including the golf club and shop, the restaurant and the store selling food products, which are open all year round.
Days can go by without anyone using them, but they are there just in case a member should suddenly decide to do so. They are part of what the mega-millionaires understand luxury to mean.