That's kind of similar to the idea of Zionism, which was similar (Jews leave Europe for a Jewish nationstate) but in Israel/Palestine.

As a preface, Zionism believed that Jews would do this, but they would also leave Russia, as well as the rest of the Middle East. Nor did Zionism believe all Jews would do this, but certainly Zionist thinkers (at least, in passing reference) spoke of Yemenite and Sephardic (Oriental, as Ben-Gurion termed them in the 1910s) moving to Israel.

Notably, the Madagascar Plan was not the first time Zionist leaders had considered "alternatives" to Israel for statehood or migration. The most famous is the Uganda plan, which I discuss here. But there is no indication that any alternative was ever accepted (the Uganda plan's "acceptance" was tactical and not genuine, as I explain in that thread, for the Zionist leadership), and by the 1930s the idea of going anywhere else was patently absurd to most Zionist leaders (not least because the Jewish population in what would become Israel was already quite large).

There is a great quote from Ben-Gurion about handling the British White Paper of 1939, which imposed land purchase restrictions and immigration quotas on Jews just as World War II was beginning: "We will fight the white paper as if there is no war, and fight the war as if there is no white paper." I'll be honest, I've found no such response to the Madagascar Plan, besides to say that Jewish leaders were not considering any alternative to a state in Israel in the 1930s besides Israel. That was the basis for virtually everything Zionist leaders were doing, and there's no indication they gave much thought to what the Nazis said about anything at all. The only exception is a tiny fringe terrorist group called Lehi which was so fervently anti-British (due to their control of the Mandate) that they considered overtures to the Nazis for an alliance, were forcibly disbanded by mainstream Zionist forces, and numbered in the hundreds at their peak (compared to tens of thousands for other Jewish fighting forces). However, Lehi itself was fervently fixated on a state in what became Israel, so it's unlikely they would have accepted the Madagascar Plan either, and I've found nothing saying they did.

That Zionist leaders were still focused on Israel is clear from what they did say, even if speaking against Madagascar specifically is harder to find. The Revisionist Zionism movement was less popular but maintained some support, and was more extreme, wanting the entire Mandate immediately and willing to use force to get it. The mainstream Zionist movement, Labor Zionism, was larger by a factor of 10, and wanted international recognition and was willing to accept less than the whole of the Mandate if an international entity could give it (sometimes, perhaps, believing that they could get the rest later peacefully or not). Both were clear: Israel was the only place their dreams could be realized. When Jabotinsky, head of the Revisionist Movement, testified before the British 1937 Peel Commission that was exploring possible solutions to the Mandate's unrest (the 1936 Arab Revolt was ongoing), he made this extremely clear. While testifying, Jabotinsky said that Great Britain should grant Jews the Mandate as promised in the Balfour Declaration, which Jabotinsky said the British had deliberately used as trickery to play both Jews and Arabs to support them. He urged the British to tell Arabs that the whole Mandate would be a Jewish state, arguing that this would lead to a mindshift that would tell Arab leaders that there was no way to win and take the whole Mandate themselves. But what's most interesting is that when Jabotinsky gets in his testimony to the part where he considers if the British won't do what he says, he claims that "[i]f Great Britain really is unable to do it (and not unwilling, but unable) we will bow to her decision, but we then shall expect Great Britain to...give back the Mandate" as any Mandatory Power would. A commissioner asks him who would be given the Mandate, and Jabotinsky simply continues with his speech, saying that Jews would "look for the alternative". By this he does not mean abandoning the Mandate, or Israel, as best I can tell: he means finding alternatives that would create a Jewish state by other means (i.e. war). He is unclear, but knowing what we do about Jabotinsky's views, I sincerely doubt he was proposing abandonment (or that his hypothetical was one he took seriously).

Ben-Gurion, for his part, moved to Israel because of a proposed alternative. When he heard that Uganda was proposed around 1903 for an alternative Jewish state, Ben-Gurion (all of 17 at the time) decided to emigrate to what would become Israel. The decision did not lead him to do so immediately, however; he emigrated at 19, just shy of 20. He repeatedly referred to this as one of the most decisive events of his life, and asked that his tombstone have his dates of birth, death, and "Immigrated to Palestine in 1906". The idea that Ben-Gurion would go anywhere else, given this background, is virtually impossible to consider. When Ben-Gurion testified before the Peel Commission, he emphasized repeatedly the "historical connection with Palestine" that Jews had, preceding any right granted by the Balfour Declaration or the Mandate, and said that he wanted a state that might be part of the British Commonwealth even if it meant being a statelet under British supervision first. There was no consideration of any alternative location for full sovereignty. Such a thing would likely have been laughed at by Zionist leaders, given the nearly 400,000 (or more) Jews present in the Mandate by the outbreak of WWII, and the 150,000 or more present at the start of the 1930s (the increase due to Jews fleeing the Nazis indicates where many Jews believed they should flee, though many also fled further west or to the United States).