Worrying? The depth is so great that they are now exporting their talent because the last I checked, the key La Roja players are still all in La Liga.
Yes, at Barcelona and Madrid. There are only two players in the current Spain squad who play in a Spanish side outside of the top two clubs - Koke and Inigo Martinez. 8 play for Barca or Madrid. 10 play outside of Spain.
Compare to the German team. 4 play for German teams other than Dortmund or Bayern. 9 play for the top two German clubs. 7 play outside of Germany - half as many as in the Spain squad.
And the England team (a worse quality side so the comparison may be less useful, but here it is anyway). 15 players outside the top two. 8 playing for United or City. None playing outside of England.
Obviously Barca and Madrid are still strong, but there's a massive talent drain going on in the rest of the league.
EDIT: The squad sizes of those three national teams are different, so here's how the numbers look as percentages:
Spain:
-Top two: 40%
-Other Spanish clubs: 10%
-Playing abroad: 50%
(4 Spanish clubs represented)
Germany:
-Top two: 45%
-Other German clubs: 20%
-Playing abroad: 35%
(5 German clubs represented)
England:
-Top two: 35%
-Other English clubs: 65%
-Playing abroad: 0%
(10 English clubs represented)