Many things could have happened. Maybe it arrived at the venue too late. Maybe the band wasn't accepting fan mail. Maybe it got left behind accidentally after they left. You never really know with concert venues, since the mail gets passed between so many different people.

I sent to avenged sevenfold vv for their concert on july 16. I sent on july 10 and before hand I emailed the venue to make sure they pass the fanmail to the artist. I got it back in the mail in rough shape and had rts, attempted unknown, not at this address, and a bunch of stuff written all over it. And it took a while to come back. Im not sure what happened:(