The fireworks were set off Friday at the Hollywood Bowl during Setzer's performance of "Rock This Town." Sparks fell on people in forward seats and ash rained down on people sitting further back, the Los Angeles Times reported.
Audience members tried to shield their heads and swatted sparks from their hair as they headed for the exits, witness Gwilym McGrew told the Times.
The concert was not halted and no announcement was made about the apparent problem.
Witness said fire trucks were outside the Hollywood Bowl when they exited the venue.
Fireworks are a popular component at Hollywood Bowl concerts featuring all kinds of music, from rock 'n' roll to classical.