Bora Bora, Sands and Ushuaia are open-air venues located right on the beach, but they aren't necessarily clubs. Just beach bars that throw parties outdoors in the late afternoon/evening (until 12). Those are all in Playa den Bossa. There are other bars in places like Ses Salinas and Cala Jondal.
But if you mean full-on dance club on the beach, no, none of those.