It's a white balance problem. Your eyes are easily fooled into thinking that any lighting is just fine when you're in it. The camera accurately records the scene, but later, you see those photos and your eyes are not fooled, because the viewing conditions are different. The white balance setting is to adjust the camera to match the light source. Concert lighting can be difficult because the lighting may be designed for effect instead of accuracy, and may change often. You also can't hop up on the stage with a card to set a custom WB. In tough conditions, you'll have to compromise on something.
In this case, the lighting looks like tungsten or close to it, so as Doanh suggested, you could use the tungsten preset, or try to set a custom WB. The custom setting might fail or take many tries because the light levels are low and you may not have a large enough target. Newer cameras allow you to adjust the WB settings by hand. The K-7 allows me to enter my own color temperature. Shooting in RAW allows you to change the WB later, but it's useful to get something close to correct when you're shooting. That makes the previews more accurate. Shooting in JPG means the camera applies a WB setting to each photo, limiting your ability to change it later. I tried to adjust your photo but in addition to WB problems, the performers are overexposed, which is more obvious when the colors are changed.
Image processing software usually has tools to help you with these adjustments, sometimes with amazing results.