No, Benalmádena is not on the schedule for the AVE high-speed trains. The nearest station is Torremolinos.
There are Cercanias commuter trains that run between Torremolinos and Fuengirola with stops at Benalmádena Costa, Arroyo de la Miel, Carvajal and Malaga Airport. For times and fares see Renfe.com You can buy tickets at the stations or on the Renfe app. If you have time, it’s worth taking the train from Torremolinos to Malaga as it is a lovely coastal journey.