This might again be me thinking with Poch-tinted glasses on, but the guy has spent the past couple of seasons talking so much about "the project" and "what we're building here". He's been quick to ship out those who aren't on board with it, even if they're considered one of the better players, and has spoke at length about the value of respect within football.
And so to turn his back on all that at the first realistic sniff of the Madrid job, would go against all that he seems to value. Not to mention make him look very fickle to the players to whom he's tried hard to embed his beliefs upon.
I'm not saying he wouldn't go, just that I genuinely believe his morales and principles are of high importance to him as a man. And it's those morales that may just see him turn any Madrid opportunity down.