It's kind of similar to a football game. Going to a football game, especially at a venue like Neyland, is quite an experience. However, if you just "want to watch the game," it's actually better to watch it on TV. You see more of what happens, can follow the action better, pick up on details you'll miss in the stadium, etc. Being at the game is more about being part of a large crowd, making noise, tailgating, etc.
If you actually want to just "listen to the music," then it's actually a better experience to put headphones on and listen to it.