Police said a hand-grenade exploded in the front stands as Indian Bollywood star Shahrukh Khan ended his performance Saturday. Khan and his band were uninjured.
Doctors said all the victims were members of the audience. The two dead were reported to be a woman and child.
Buddhist Monks had earlier objected to the event being staged on the anniversary of the death of a popular monk. Followers clashed near the venue with police who fought back with teargas, water cannons, and rubber bullets.
The monks had planned a peaceful protest during the performance, but they called it off after receiving a letter from Khan apologizing for the concert's timing.
Police said they have begun an investigation and have ruled out involvement from the Tamil Tigers.