As it has been advised by my friend who lived in india for more than a year; I should visit the caves of Elephanta Island which are amazing according to him.
To access this place, I will need to take a boat from a place called Gateway of India which will be on my way after the visit of the mosque. It costs 160INR return and takes 1 hour to arrive to the island. There, we have to pay 10 INR for tax. And then, then entrance in the caves costs 250INR.
As my friend told me, the place is very nice and packed with small wild monkeys that you can approach. It is very good to take pictures too.
The main cave is dedicated to Lord Shiva and we can find beautiful sculptures such as the following one: