MADRID (AFP) - French Islamist gunman Amedy Coulibaly spent three days in Madrid before last week's Paris attacks, with Spanish police now investigating whether he had a support cell there, a newspaper said on Thursday.

He was in Madrid between December 30 and January 2 with another person who has not yet been identified, Barcelona-based daily newspaper La Vanguardia reported.

Coulibaly shot dead a policewoman in Paris on January 8 before killing four hostages he took at a kosher supermarket in the east of the French capital the following day.

His partner, Hayat Boumeddiene, is known to have been in the Spanish capital before last week's attacks, but this is the first report that Coulibaly himself had been there for three days.

Turkish authorities said Boumeddiene crossed into Syria on Jan 8 from Turkey after arriving in Istanbul on a flight from Madrid.

Spanish authorities are working with their French counterparts to investigate Coulibaly's activities in Spain to determine if there is a support cell in the country.

According to Spanish authorities some 70 Islamist fighters who went to conflict zones such as Syria and Iraq returned to Spain in 2014.

Interior Minister Jorge Fernandez Diaz said recently in an interview that a dozen more have returned to Spain since the beginning of 2015.

Coulibaly, 32, died when police stormed the supermarket on Friday.