The 14-year-old boy was found dead outside the El Corte Ingles shop in Puerto Banus.
A British girl, 16, was rescued by security forces and interrogated.
According to local newspaper Sur, the police believed the incident was due to a suspected suicide pact between the two.
The duo had reportedly alerted the authorities with a series of social media posts.
A source from the department store said, "We received a phone call just before noon and the call came through at the reception and the security guards were immediately alerted.
"Everyone is in shock. It's terrible what happened. "
Department store source
"They went straight to the roof, where they were told that the couple would be, and although they unfortunately came too late to save the boy, they could reach the girl in time.
"It seemed she had hesitated after experiencing a split second of doubt, and this gave the security guards time to seize her and save her life.
"Everyone is in shock, it's terrible what happened.
"As far as I know, they went to the same school."
Pals said the boy had a British father and a Brazilian mother.
The dead boy landed on a crosswalk beside a busy roundabout.
A witness said, "When I arrived there was still a white sheet on the floor.
"There were some young people on a bank nearby, who were mourning beside them, looking like I was friends.
"In the summer, this area is full of people, including many tourists and emigrants, who can walk easily in the place where he fell."
The girl suffered a panic attack after the boy died.
A source close to the investigation said, "The matter is under investigation, but everything indicates that his death is the result of suicide."
The two reached an emergency staircase to the top floor of the shopping center Costa Marbella.
Additional reporting Gerard Couzens
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