Hola William

In this sentence "I never go to rock concerts", "rock concerts" is something generic, therefore there is a tendency to omit the definite article "los". Similar sentences with absence of article would be for example: 

"Pedro nunca come verduras" (Pedro never eats vegetables)

"Yo leo libros de aventuras" (I read adventure books)

However I would use the articles if I wanted to be more specific:

"Pedro nunca come las verduras que su madre cocina" (Pedro never eats the vegs that his mum cooks.)

"Estoy leyendo los libros de aventuras que me prestaste" (I am reading the adventure books that you lent me.)

I hope this clarified your doubt.

Inma