At the head of the cove is a small, sandy beach with a well-marked swim area and a set of stairs going up to the town of Cala Pi. The swim area for the beach takes up most of the head of the cove, but there is a channel for dinghies and other small craft. There is a designated dinghy parking area on the beach and sheds for locally-owned small boats are built up along one of the cliff walls.
The bottom is a mix of sand and thick seagrass so you'll have to be careful about where you set your anchors, but they should hold well in sand. The depth comes up from about 5-6 meters at the mouth to a little under 3 meters** by the edge of the swim area. This provides plenty of depth for yachts of the size I mentioned earlier without needing too much room to swing on a long rode. I haven't seen detailed depth information on any charts I've looked at, so make sure you do a "drive-by" as necessary to get a feel for the depths. There are a few large rocks sitting away from the cliff faces that one could tie off to instead of using a stern anchor if one was so inclined, and we saw at least one boat doing just that while we were there.
The town of Cala Pi has an assortment of restaurants and a supermarket near the beach, although I can imagine that carrying down a large load of provisions down the stairs to the beach would be a bit treacherous. We had dinner at the Restaurante Miguel, and their seafood was remarkable. But probably the best reason to climb the stairs into town is the view from the aforementioned watchtower. There are stunning views of the sea to the south and east, and to the west you get a fantastic view of the cove itself.
If you find yourself sailing east out of Palma and looking for a place to stop that's not just another crowded, run-of-the-mill beach anchorage, I'd highly suggest giving Cala Pi a try.
*A few more boats could easily fit anchored further out, but expect to be in for a rather rolly stay. We started out off there and within five minutes we knew that staying there overnight would have been rather uncomfortable.
**We never did figure out where out depth sounder was calibrated, so take these numbers with a grain of salt. One more reason to do a "drive-by" before you anchor.