Ideally, you should not frequent places where you know he may be. However, I appreciate that this appears to punish you for what he did.
Firstly, ask yourself how you would feel if you saw your ex or the other woman at the club. If you do not feel emotionally strong enough, then give the club a wide berth for now.
When you are ready to go back, avoid times when he is likely to be there and try and take a friend with you for moral support.