Definitely have a conversation with the management team at the actual venue (not just the person who answers the phone but someone who makes management-level decisions) as well as the promoter or organization putting on the event. One or both may require that you have insurance.
If you don't already have insurance, I think this is a perfect reason to get it. If someone knocks over your setup, and it catches the wall on fire and the whole place burns down, the night club (or the night club's insurance company) could come after you for the replacement / rebuild cost. This would easily bankrupt any small business, and is the exact reason why you would want an insurance company to cover you.