The Last Dinner Party said fans were “understandably” left “feeling uncomfortable and disrespected”.
“Everyone is welcome and encouraged to attend our shows,” they said.
“We are appalled and disappointed that anyone was made to feel otherwise.
“We want to make it very clear that those policies were created and enforced by the venue at their own discretion and were not made in consultation with us.”
The band also apologised for cancelling the show at short notice due to “sudden illness”.
The Engine Shed didn’t provide any more details about what had happened at the previous gig they referenced in their statement and BBC Newsbeat has contacted them for further information.
The band had previously played in Glasgow, Manchester, Newcastle, Leeds, Sheffield and Norwich, but police forces in all of those areas told Newsbeat they’d had no reports linked to any of the venues.
