After one season with lowly SD Ponferradina he was bought by Real Madrid, spending the 2005–06 campaign in Segunda División with its B team.

[1] Initially backing up Andrés Palop, he benefited from an injury to the first-choice during a March 2007 home win over RC Celta de Vigo and went on to make four full additional appearances, adding three in the Andalusians' victorious run in the UEFA Cup.

After starting the season as the starting goalkeeper, he lost the job to Brazilian Diego Alves, only reappearing for two of the side's last three games; subsequently, he was released by Sevilla and returned to Rayo on a three-year deal, as the Madrid club promoted again to the second level.

[6][7] During his first season in his second spell he was the team's undisputed starter as they eventually retained their league status, and won the Ricardo Zamora Trophy for the campaign (38 goals conceded).

[8] In 2010–11, Cobeño continued as Rayo's first choice, only missing four league matches in 42 and helping the club return to the top division after eight years.