I think the main reason they don't allow you to have drinks (alcoholic or not) is because isn't there a way of making liquid-form bombs and just putting it in a bottle disguised as a drink? Didn't that happened on an aeroplane a few years ago (or I think it was maybe attempted but the people were caught before it happened)? And seeing as an indoor arena packed with thousands of people sounds like a terrorist's idea of heaven, they do have to take precautions like that. It does suck that they take advantage though and use the precaution as an opportunity to charge people 3x the normal price for food + drink once in the arena.
And yeah, people just like to have drinks on a social occasions for fun, it helps you let loose a little.