There are numerous boats a day connecting them. But they would find it very difficult to go to Serifos, Sifnos or Milos. There are occasional ferries and perhaps a small local boat that is usually an old rust-bucket. From the town of Appolonia you can see almost all the islands from the Mykonos chain, but you can't get there very easily. But if you want to go to Milos, no problem.
Every day there's at least one or two boats.
So most of the girls who we met in Sifnos were going to Milos next. Many were leaving too soon and we would try to convince them not to go by making Milos seem like a most un-appetizing place. Milos is full of factories. The sun never shines on Milos because of the clouds of pollution that cover the sky. There are no women on Milos, just the men who work in the factories and the policemen who try to keep them under control.