Ok the name of the club I was talking about was not as near La Castellana as I thought. It's called Serrano 41 (I just remembered it had a number in it, but that was enough to jog my memory). And now that I saw a little website about it, this is definitely it.
http://www.visualdisco.com/ipix/serrano_2ipix.htm The metro stop is Serrano (duh).
Makes sense now that I may have seen celebrities, according to this page this place is used a lot for awards, runway shows, etc. I was never into places like this, my pijo ex would drag me to all kinds of places like this.
I would rather just hop from small bar to small bar! My funnest nights in Madrid were that way.
Hope this helps!