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. They are in My Stuff because they are your challenges.
Complete challenges, win races, and take part in events to earn coins through gameplay.
From either the Home Screen or the Hamburger Menu (top left) > My Stuff > Challenges and choose a Challenge.
For example, you may see this in Challenges: