Praise be to Allah.
We put this question to our shaykh, Shaykh Abd al-Rahmaan al-Barraak, who answered as follows:
Allaah says (interpretation of the meaning): Let there arise out of you a group inviting to all that is good, enjoining al-Maruf (Islamic monotheism and all that Islam orders one to do), and forbidding al-munkar (polytheism and all that Islam has forbidden) [Aal Imraan 3:104].
The Prophet (peace and blessings of Allaah be upon him) said: Whoever of you sees an evil action, let him change it with his hand [by taking action against it], and if he cannot, then with his tongue [by speaking out against it], and if he cannot, then with his heart [by feeling that it is wrong], and this is the weakest of faith.(Reported by Muslim, no. 70).
Allaah says (interpretation of the meaning): So keep your duty to Allaah and fear Him as much as you can [al-Taghaabun 64:16].
With regard to the evil thing that you mention in the question, you should try to change it or get rid of it as much as you can, so that you eliminate it or at least reduce it. This can be done by taking the matter to the people in authority who have the power to eliminate it or move it to another area, or by talking to the owner of the site and asking him to stop investing in evil which will only cause harm to him in this world and the next, and to invest in something that will be of benefit to him and the people living in the neighbourhood, without causing them any harm in either their spiritual or worldly affairs.
As for taking action by destroying the nightclub, as mentioned in the question, this is not permitted, even if the one who does this is sure he will not get caught. The evil resulting from such an action is too great, such as the destruction of property which is it not permissible to destroy, and the accusation and torture of innocent people that is bound to happen during the investigation of the incident. Moreover, the owners of the nightclub may not give up, and are most likely to try again to build the place. Beware, my zealous brother, of being too hasty to change evil things without thinking about the consequences. It is a good job that you asked this question so that matters might become clear to you, which they surely are now. And Allaah is the Guide to the Straight Path.