Hi moldovan, sorry to hear about your "loss".
There is a special police station set up for tourists and visitors who "lose" things in Madrid, I posted on it a while ago when it opened up,
JUST CLICK HERE for more info.
The staff is multilingual and you should go there immediately to report the stolen documents!!!
I do not know how good your spanish is but if you speak it well, I find that going to the area you were robbed in and talking to the "barrenderos" (street cleaners) in the area to keep an eye out for your wallet, documents and such is a big help. If you are pick pocketed here, the thief only wants the cash so they take that and trow the rest in the nearest trash can which the barrenderos empty. I personally know one barrendero who works the area of the Plaza de Tirso de Molina (just south of Puerta del Sol) and he finds about 12 wallets per week in the trash cans of his cleaning route during high tourist season. He then turns them in to the police. That Plaza is also on the same METRO line (line 2) as Atocha station which is a "high risk" area. The theory is that the thieves "pick" the tourists, head up to the Plaza de Tirso de Molina, split up the bounty and then toss the wallets, etc, in the garbage cans.
So, if you let the barrenderos know that you have been picked in that area and offer them a reward to call you if they find your stuff, the word will spread and you will have better and faster results.
Hope this helped.
Saludos,
jer...