On the third day of official mourning, Spaniards are also turning out to vote in their general election.
Many are very angry about the terrorist attacks which injured more than 1,500 people, and millions marched on the streets in protest.
But hundreds of people also demonstrated noisily, claiming the government was trying to unfairly push the theory that the terrorist group Eta carried out the attacks.
Spanish authorities said they were looking at all theories, and that one possibility was that Eta may have been working with al-Qaeda in some way.
The five men who are being questioned were thought to be linked with a mobile phone and SIM card found by police inside a bag with an unexploded bomb.