Is the beach accessible from the room straight away or you should go by car?
Agios Stefanos beach is less than 5 minutes walk from the hotel.
We didn't go to the beach from the hotel but I believe there is a walkway down to the beach so not very far. To get to the most popular beaches though you need a car. I don't remember if the hotel shuttle would do drop-offs there, suggest you check with the hotel.
Get an answer from Rocabella Mykonos Art Hotel & SPA staff and past guests.