Steve Aspinall, who was at the gig with his wife, said: “Two guys came on, one with a mic and headphones, one guy whispered to Peter Kay and then he and Peter Kay shot off down the side.”
He said the audience was told to look for security guards and listen out for any announcements.
“To be honest, I thought it was part of the show at first,” Mr Aspinall, who lives in Bideford, Devon, said.
“It was a strange atmosphere, eerie, just confused really (about) what was happening.
“But it was alright and everyone was calm and left quite quickly with no panic.”