Madrid is cold at that time of year, Alicante would be warmer but not that warm. The warmest part of Europe is the Canary Islands and there is a lot of choice among them. Madrid would be good for galleries and culture but if you do not mind the cold, you might as well go to Paris.
As a comprmise there is the south of France. The bus from Nice airport makes for a swift arrival there, if you want to have as short a journey as possibe. If warmth matters then look on line for information about the weather at whichever destination you have in mind