Probably because I'm not a big fan of dancing. Or music, really.
Come to think of it, I'd rather go see a live stand-up special than go to a concert.
Ditto not being a fan of clubbing, but my reasoning has more to do with the fact that I enjoy a good conversation... or just the ability to speak to people. You lose that when you're surrounded by bass, a collective mass of vodka-infused blood, and strobe lighting that causes massive sensory overload. Give me a good bar any day.
Concerts are another issue -- they can be fun if you're with the right people or just really appreciate the music.