We consider the problem of obfuscating sensitive information while preserving utility, and we propose a machine learning approach inspired by the generative adversarial networks paradigm. The idea is to set up two nets: the generator, that tries to produce an optimal obfuscation mechanism to protect the data, and the classifier, that tries to de-obfuscate the data. By letting the two nets compete against each other, the mechanism improves its degree of protection, until an equilibrium is reached. We apply our method to the case of location privacy, and we perform experiments on synthetic data and on real data from the Gowalla dataset. We evaluate the privacy of the mechanism not only by its capacity to defeat the classifier, but also in terms of the Bayes error, which represents the strongest possible adversary. We compare the privacy-utility tradeoff of our method to that of the planar Laplace mechanism used in geo-indistinguishability, showing favorable results. Like the Laplace mechanism, our system can be deployed at the user end for protecting his location.