Coulibaly, his partner Hayat Boumeddiene, his brother, sister-in-law and nephew arrived in Madrid on January 2nd according to Spanish daily El Pais.
At Barajas airport they met Mehdi Sabri Belhoucine, a young French man who was to help them cross the border between Turkey and Syria on January 8th.
Boumeddiene is now wanted by police.
Coulibaly's family boarded a Pegasus flight at 2.45pm and he drove back to Paris. Six days later, he killed one police officer and four French Jews.
The 32-year-old Coulibaly was an ally of the brother Chérif and Said Kouachi, responsible for the attack on Charlie Hebdo in which 12 people were killed.
Coulibaly – who met Chérif Kouachi in prison – was sentenced to five years in prison in 2013 for his role in a failed bid to break an Algerian Islamist, Smain Ait Ali Belkacem, out of jail.
At this stage, no evidence has been found that he made any contact with other people while in Spain.