No injuries were reported so far.
Several political and film personalities including Chief Minister Devendra Fadnavis, Amitabh Bachchan and Aamir Khan were present at the venue. They were quickly evacuated to a safe area.
The blaze started during the 'Maharashtra Rajni' event when a lavani (dance) performance was underway.
Sixteen fire engines and six water tankers were rushed to the spot and are trying to put out flames.
The cause of the fire was being ascertained and further details are awaited.