There’s no rule that says a band has to play a proper music venue. In fact, you don’t even need electricity to drive a concert. Cameron Gordon at Completely Ignored has done some research into times when big bands came to Toronto and ended up playing unusual venues.
Remember when Green Day played a back alley? Spirtualized at the CN Tower? The White Stripes at a YMCA? (Go here to get a better look; the font is rather small).