After having spent some time on this problem and having found little on this topic in existing articles, I decided to post it here.
My question is :
Does there exist a bounded (injective) function $f: [0,1] \rightarrow \mathbb{C}$ such that $$\forall (x,y) \in [0,1]^2,\ |f(x)-f(y)| \ge \sqrt{|x-y|}$$
(It is not necessary to assume $f$ to be injective, as it follows from the last hypothesis.)
Note that I am not asking the function to be continuous.
Indeed, using a result of Besicovitch and Schoenberg, I can prove that such a function can not be continuous (however this is not really easy to prove ; see On Jordan Arcs and...).
By the way, in the same paper, they proved that given any $\varepsilon>0$ there exists a continuous injection $f : [0,1] \rightarrow \mathbb{C}$ such that $\forall (x,y) \in [0,1],\ |f(x)-f(y)| \ge |x-y|^{\frac{1}{2}+\varepsilon}$.
I really find this result noteworthy. At first I thought I could directly use it, by taking the limit (in a certain sense) to answer my question, but the supremum of the functions they give goes to $+\infty$ when $\varepsilon$ goes to $0$, and I am requiring boundedness : it did not work.
Regarding my problem, I believe that there are no such functions, but did not manage to prove it.
I tried to consider the reciprocal function : from this point of view, we must study Holder continuous functions of order $2$ defined on subsets of $\mathbb{C}$. However, not much is known about Holder continuous functions of order $>1$ (when they are not constant), or rather, I did not manage to find articles investigating this matter.
I also tried to study the discrete case : assuming such a function exists, and taking the image of $\left \{ \frac{k}{n}\ |\ 0 \le k \le n \right \}$, we have, for all $n \in \mathbb{N}^*$, $n$ complex points $x_1,...,x_n$ such that for all $i,j$, $|x_i-x_j| \ge \sqrt{\frac{|i-j|}{n}}$. All those points are in the same bounded set (because $f$ is bounded). However I think that the diameter of such sets grows unbounded when $n$ approaches $+\infty$. Same problem here, I could not find a proper reference dealing with this topic.
I would be glad if someone had an idea on how to tackle this problem, or references to related articles.
Edit : I posted an answer, which I hope is correct, but I would still be glad to see suggestions or different solutions.