Actually, for the wild partying part of your hen weekend you want to be in Puerto Banus. But don’t stay in Puerto Banus, it is too expensive and noisy.
For nightlife, stay in Marbella. it will be far cheaper and quieter. Marbella has hotels, apartments, even its own Paseo Maritimo with bars and views. Plaza de los Naranjos has shopping and dining places. In all, the Casco Antiguo old town is beautiful and a break from the wild side of Puerto Banus which is just a 10 minutes taxi ride away from Marbella. My Marbella accommodation apartment recommendations are Mediterraneo, Skol, and Puerto Azul.
But if you decide to splurge on rooms and save on taxis, go all out for it and stay in Puerto Banus. Check out the Pyr Hotel, or Benbola, right in the party zone so you can walk back after your night out.