I didn't see any "cheap" flights to Madrid either. Seems like it was Menorca or nothing.
After some debating about making this a longer trip with stops outside of Spain, we decided to take a week just to relax and enjoy. We're usually "big city, see everything" type travellers, so it'll be a nice change of pace. Plus, for what we paid for the trip, we won't feel compelled to "get our money's worth" and can simply enjoy it for what it is