The 81-year-old "Annie Hall" director was playing the clarinet when the women, who were topless and covered in writing condemning Allen for alleged child abuse, went up on the stage and began shouting, according to The Hollywood Reporter.
The two activists from the Femen group, known for their provocative nude protests, tried to read a letter from Allen's adoptive daughter Dylan, who has accused the Oscar-winning director of abusing her when she was seven. But security guards pulled them offstage.
Dylan first publicly accused her adoptive father of abuse three years ago.
The alleged abuse took place in 1992 when Allen was still together with Dylan's mother, actress Mia Farrow.
Connecticut prosecutors launched a criminal investigation against Allen, but decided not to pursue criminal charges.
In a guest column for The Hollywood Reporter last year, Dylan's brother Ronan Farrow detailed the allegations, and condemned the general press silence surrounding them.