Reports say upto seven people were injured in the blasts, which Basque seperatist group ETA have claimed responsibility for.
Uefa are holding a security meeting to decide if the match will go ahead.
At least five cars were set ablaze by the blast and dozens of windows smashed in offices and apartments nearby.
The bomb went off across the Paseo de La Castellana thoroughfare opposite the stadium which is located in the heart of Madrid's financial district. Hundreds of fans were milling around the stadium at the time.
If the match goes ahead, the winner will go on to meet Bayer Leverkusen who knocked Manchester United out of the competition last night,