Going to an occasional rock concert is fine, but I wouldn't recommend doing it every night. It's hard to measure exactly how much noise can affect a developing baby.
One study showed that women who work eight hours a day around very loud noise (at levels so loud that hearing protection is needed) run a higher risk of delivering babies with hearing loss.
Another study looked at whether amniotic fluid buffered or amplified sound. It turns out that low-pitched sounds (like those from a bass guitar) are slightly amplified by amniotic fluid.
As the pitch gets higher, though, the fluid dampens the sound. (This study also found that amniotic fluid amplifies a mother's voice by about 5 decibels but dampens other voices.)

