Scientists put it down to your stress levels rising, which happens when your emotions are heightened – positively or negatively.
This tells the neurones associated with memory in your brain to fire aimlessly.

The body believes it may be under attack and chooses not to waste its energy on forming new memories.

Dr Dean Burnett, a neuroscientist at Cardiff University, told the Daily Mail: “If you’re at a concert of someone you love, surrounded by thousands of very excited other people, listening to music you’ve got established emotional links to,

that’s going to be a lot of emotion happening to you at one time.
“As well as being exhausting for the brain, it’s going to mean all the things you experience will have a high emotional quality, which means nothing ‘stands out,’ and that’s important if you want to retrieve a memory later.”
And it’s not just reserved for gigs.
Ewan McNay, associate psychology professor at the State University of New York, told TIME magazine: “This is not a concert-specific phenomenon – it can happen any time you’re in a highly emotional state.
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Source: Los Angeles Times (edited)