The rockpools of Porto Moniz are perhaps the most popular place to go for a dip. And for good reasons. You have two large areas of rockpools which means you will never get the feeling of being crowded in the water. That's also because Porto Moniz is the furthest you can get from Funchal so it does require a fair drive, which is of course worth it.

Our video from there: https://youtu.be/F8exA8DpcZk?t=189