Simon And Garfunkel - The Concert In Central Park 
Bon Jovi - Jon Only - Info on Free Concert In Central Park video
We walk around in a park, and these concerts were held in Central Park (referring to inside the grounds of Central Park).
Concerts/Operas are performed at Carnegie Hall, at Covent Garden Opera House etc ....even though of course, the people are actually inside the buildings!
When we say it is held 'in Central Park' it means 'within the grounds of the Park' with implied emphasis that it's outdoors, in the open.
When we say 'at the Park', then the emphasis is that some particular Park is being named as the special venue for the concert. It is being held at Wichita Opera House; it's being held 'at Yellowstone National Park'.