This is a really a tunnel rather than a cave. The entrance is door sized and pitch black but as you feel your way in you start to see light from the other end where it opens up onto the vertical cliff face, about 70m above the sea. The Cavalleria lighthouse is quite impressive anyway and the tunnel adds a bit of extra interest.
The cave is on the west side of the Cavalleria lighthouse. There is a slight gulley next to the boundary wall of the lighthouse and the cave entrance is there.
Unless you are suicidal this spot is safer than it sounds, and the views can actually be quite uplifting!