lots of people are pickpocketed daily in Madrid metro system, and in any large metro system in the world for that matter. I don't think it's any different in London, NYC or Paris. They are professional pickpocketers and you will not realise until some time after you've been pickpocketed.
Is it safe to walk in Madrid at night?
Compared with the other major cities on the crime rate index, Madrid is a very safe destination for any type of traveler. It's perfectly safe to walk alone during the daytime and the evening. But if you're heading into the capital city's biggest attractions, then taking some extra precautions is strongly advised.
How do you avoid pickpockets in Madrid?
Check your purse and backpack frequently to make sure it is closed. If you can, wear it in front, rather then on a side or on the back or keep your hand on the zipper (yes, opt for a bag with a zipper, rather then an open tote).