Yes I am now having the same problem.
Made a call to a local Malaga number (airport parking company) on 14th Sept just before leaving for UK.
Came back on 27th and found myself unable to call the same airport parking company. Incomimg calls work OK
I am a business customer with three O2 phones on contract and all have this problem.
It happens irrespective if I connect via Movistar or Orange and affects both landline and mobile numbers and stops SMS also.
My contract Voda sim works OK though (but vastly more expensive)
Reported the fault to O2 today (29th Sept) and they have escalated to their network engineers and have provided me with a fault reference number so I can chase up progress.
If any other O2 customers have this problem it would be helpful if they could add a "Me Too" to this thread. Please confirm contract or Payg and location. No need to publish your number here I will PM you should O2 want more info.
Incidentally - as with all mobile operators Payg receive the lowest level of service. If the phone is essential to your life I would always recomment contract, business contract if appropriat will give an even better level of response. O2 have some good SIM Only deals especially even if you spend a lot of time in Spain.
(Retired Telecoms Consultant)