I finally found the answer on my question. The problem was that my proxy is not a type but the instance of type so I fixed it like this:
var interfaceType = type.GetInterfaces().Single();
var proxy = generator.CreateClassProxy(type,
new Type[] { interfaceType },
new IInterceptor[]
{
new CacheInterceptor(),
new LoggingInterceptor()
});
// I'm using directive ToConstant(..), and not To(..)
Bind(interfaceType).ToConstant(proxy).InThreadScope();