We spent every February vacation from the time DS was 7 until he graduated High School (2 years ago) in Bonita Springs (about a half hour from Naples proper). We LOVE the area. The weather can be a bit of a wild card. We've had weeks when it was 80s all week, and we've had weeks when it was 30s-40s. With a 5 year old, there are some fun places to go.
Caribbean Gardens (nice little zoo in Naples), gators, big cats, lemurs, reptiles, and other animals. A nice activity for a day.
http://napleszoo.org/
There is also a nice little water water park that is run by Collier County called Fun n Sun Lagoon. They have a lazy river, couple of pools, diving boards, 4 water slides, and a nice splash pad. They are only open on weekends in February, but it's VERY reasonable to get in, and their food prices are very affordable as well. Lots of loungers as well.
http://www.napleswaterpark.com/
Also up in Ft Myers, right off 75, is Manatee park. There is a Florida Power and Light plant across the way, and the water in the river is VERY warm, so the manatees will come in from the gulf to stay warm. There is a walking path, and we've seen literally hundreds of them.
http://www.leegov.com/parks/facility?fid=0088
The beaches are gorgeous, but the water in the Gulf will still likely be pretty cold. However, if it's a nice day, hanging at the beach, wading, shell collecting and dolphin spotting are all great fun.
Hmmm-can you tell which one I'd pick?