YOu are lucky to ask that ... thus you will not be among the people wandering the harbor pitifully asking Taxi? Taxi? Please, Taxi? Even in high season, Mykonian "Vets" recommend that nightclubbers stay IN town or at the edge... and you will be there in Off-season. HEre's the deal: Mykonos does what it wants. tts bus system, my landlady told me, ends around 11 pm. There are a limited # of taxis, and they quit when the drivers decide to, and even if there are some about at midnight & 1 pm, not enough to service the bar & club crowd.
There are many good hotels that are on hills (lilke ?Pelican?) with lovely view down on town & out to sea... but easy to walk home to, after a night out. The busses serve the beaches welll... One handy place Hotel Despotika, is at the rear edge of the mazey whirl of Mykonos town, just uphill about 100 yards from the "Bus Circle".... has a pool & upper rooms hae sea view as well.