The Irish band announced a second concert date in Madrid after tickets for the first show scheduled for September 20th at the 16,000-seat WiZink Center went within minutes of going on sale on Tuesday.
Tickets for the second show scheduled for September 21st went on sale on Friday and also sold out very quickly.
Culture Minister Inigo Mendez de Vigo said he had asked police to investigate after the tickets for the first concert sold out so quickly.
"It is not normal that a few minutes after tickets go on sale over the internet, there are none left," he told a news conference.
The minister said this hurts fans who must then turn to other sellers offering tickets "at a much higher price" online.
A government commission was set up last year after similar problems occurred with other concerts, to look into what changes need to be made to Spanish laws to improve the fight against ticket scalping, he added.
Tickets for the two U2 concerts in Madrid, which sold at €35 to €195 ($43.5 to $242 ), are being offered for resale on classified ad websites in Spain for as much as €500.
Some adverts claim to be selling two pens for several hundred euros which include two "free" tickets for one of the U2 concerts in Madrid.
The authorities suspect scalpers use software bots to snap up concert tickets, which they then resell at inflated prices.