OK, I am confused. You say that the arena has no weapons policy. Therefore, I would think that you could carry there if carry is legal in your state.
The fact that they search people does not change this. They are searching for more than firearms. If the gun is carried legally, what can they do? Complain in a loud whining voice? The most that they could do is keep you from watching the concert. (Which, I understand, would be a punishment, because if you did not want to see it, you would not be going.)
Either it is legal to carry in that situation, or it is not. Should be a clear cut case.
In my state, I have to avoid carrying in schools, hospitals, and bars. Never tried to carry in a concert, but if they did not post it, it would not be illegal.