"It's like holding a wedding at a graveyard," said Aleksandar Mosic, a Jewish chairman of the camp's memorial centre.
"It was the only death camp in Europe which was so visible," said 88-year-old Mosic, who wants to build a proper memorial to the victims of what he describes as "the forgotten concentration camp."
Zeljko Ozegovic, the mayor of New Belgrade, said: "It is awful that such concerts are being held there, but the building was illegally sold."
"We have been appealing the legality of the purchase for years."
Poseydon, the company that bought the hall, say the concerts make business sense.
"The concerts are the most profitable events we can hold here, and this place has to live off something," said Nenad Krsmanovic, a company spokesman.
Serbia's dwindling Jewish community say the site needs to be saved from decades of neglect.
Nearly all of Belgrade's 8,000 Jews were killed at Sajmiste soon after it was set up in 1941 at the site of the Belgrade Fair exhibition ground.
Thousands of others, including Serb nationalists, were also killed at the camp.