You shouldn’t have any issue with break-in if you take a couple precautions. In all my trips to Europe I’ve never had a rental car broken into. Keep everything out of sight and have nothing in the passenger cabin (GPS, phone charging cable, coins, etc.) that somebody might want. Place everything in the trunk prior to parking so you don’t need to open it after parking. Park in a place that isn’t secluded if possible. In Frigiliana there appear to be a couple public parking lots. There is a parking garage at Plaza de las Tres Culturas, S/N that costs 1.2€ per hour. One level is covered, so probably too secluded if you’re concerned. On the other side of town there is a free outdoor lot along Calle Cuesta Del Apero near the Mirador/overlook. There’s also parking along the MA-5105 as well as along certain streets in the town itself. If you can find a spot in the main part of town along Av. De Andalucia you should have no issues.
Edited: I did find a website for a company that provides storage service. It partners with shops and hotels in town to store luggage. The website is: https://www.eelway.com/en/luggage-storage/frigiliana