The caves were carved out over thousands of years by waves slowly hammering the limestone cliffs. The sea is always working on the rocks - tiny grain by tiny grain. Eventually, where the rock was softer, the water broke through and made arches, tunnels and caves.
The water in the caves is famously clear. You can look straight down through it and see fish, seaweed, and the white sandy bottom 10 metres below as if you were looking through glass. When the morning sun bounces off that white sand and back up through the water, the whole cave glows blue.
Right next to the main grotto there is a giant natural arch, where the sea has carved a doorway right through the cliff. Tour boats are small enough to sail straight through it. From the top of the cliff above, the arch looks like the cliff is sticking out one giant stone leg into the sea.
The water is so popular with divers that you can sometimes look down and spot bubbles rising from far below. Underneath the surface there are even more caves - a kind of secret underwater town for fish, octopuses and crabs.