Police are hunting an intruder who triggered a security alert at the Hall For Cornwall in Truro.
More than a 400 people were forced to leave Sunday night's performance of the Band of the Life Guards.
According to members of the public, a large noise was heard during the first half of the show, and a member of staff told the audience that an intruder had let off a device in the building.
Police and fire crews were called and the building was evacuated.
In 1982 two bombs planted by the Provisional IRA went off at Hyde Park and Regent's Park in London, killing eight bandsmen of the Life Guards.
Seven army horses were also killed.
Margaret Bennett from Porthtowan, who was in the audience on Sunday night, told BBC Cornwall: "There was quite a loud bang.
"We saw a smoke alarm flashing on the foyer.
"But there was no panic. I don't think we realised the gravity of it at the time."
Tim Brinkman, the Hall director, said: "A person was challenged and escaped into the building.
"Shortly afterwards the fire alarm went off. That triggered a boom from the system which shuts off air into the hall."
Police and staff searched the building, but the intruder had escaped.
Mr Brinkman added: "The fact that it was a military band means that we do have a heightened sense of security.
"It influenced our thinking and in our business safety comes first."
He added that he would be happy to have the band back.
"We are determined that this will not stop us putting on concerts like this that we all enjoy."