Is it wrong to go to a nightclub?

Well, night clubs certainly are a “den of iniquity” — or at least, that’s how they are mostly used. So keeping away is probably wise:

Proverbs 4:14-15
Do not enter the path of the wicked,
and do not walk in the way of the evil.
15 Avoid it; do not go on it;
turn away from it and pass on.

On the other hand, Jesus ate and drank with tax collectors and (gasp) sinners (Luke 15:1-2), with the explicit intent of finding the lost sheep. (And, I, for one, am glad). So the answer depends on why you are there — and whether you can really be sincere when you say that you are at a nightclub to rescue lost sheep.