If you do that, it's tough to make any money at all. If you're, say, Dave Matthews Band and you have 50,000 people who want to come to each show, and you start saying you'll only play to 1,000 people at a time, the economics start going sideways. The size of the band has to shrink and/or the cost per ticket has to go way up. The secondhand/scalper market sends tickets sky high.

Ticketmaster/LiveNation allows big acts to fill big venues, which (despite how it may feel sometimes) actually makes the show available to more people at a lower price.