The entry fee to a gig entitles you to see the live performance, nothing more, nothing less. Why should it entitle you to a discount on any merchandise? Do you expect a discount on your beer as well? If the artist runs out of CDs do you ask the venue for a refund?

If the artist sells CDs, they'll price them at what they think is appropriate. Some will decide that it's worth discounting them because they hope to sell more, others may not. They may be constrained by their record company. If they price them too high, they won't sell. If you don't like the price being asked, you don't have to buy it, you can try to get it cheaper elsewhere.

Why is that hard to understand?