I say be honest and polite.
Example 1: Hey…I don’t care how much you think Metallica would just rock in a club. Look around, this isn’t a heavy metal club. Thank you for coming out tonight, but if you want metal then you’re unfortunately in the wrong spot.
Example 2: I’m sorry…but this night is a global underground house music night. If you want Bieber or David Guetta, then there are plenty of clubs in town pumping that. This place isn’t one of them.
Easiest Solution: I’m sorry, but we’re not taking requests tonight.