Although Challenges are technically on-demand, they are not "activities" but, rather, goal-oriented tasks where players aim to achieve targets like moving time, distance, or elevation gain over an extended period.
Complete challenges, win races, and take part in events to earn coins through gameplay. You can even see if Friends have joined the Challenge. Level up on achievements as you continue your journey in Challenges.
From the Home Screen > Challenge > choose your Challenge to get started. You can also find Challenges under Stuff.
For example, you may see this in Challenges: