The 23-year-old beauty and the One Direction singer have been romantically linked in recent weeks and although they've continually rubbished the rumours, reported Femalefirst.
The former Disney star was seen mingling with fans and a few of Horan's friends at the show.
The show itself featured a special performance from One Direction and a video tribute to the band, who are taking a break in 2016.
Earlier this month, Gomez admitted she thinks Horan is "amazing", but insisted they are definitely not dating.