Coldplay performed a special invitation-only show for SiriusXM on Sunday at The Stephen Talkhouse in the Hamptons
Credit: Kevin Mazur/Getty

Jay Z and Beyoncé sure know how to do family night.

On Sunday night, the pair and their 4½-year-old daughter Blue Ivy stepped out to a special invitation-only SiriusXM Coldplay concert at The Stephen Talkhouse in the Hamptons, benefiting the Wounded Warrior Project.

“Jay Z was holding Blue Ivy and put his hands over her ears for a second because the music was loud,” an onlooker tells PEOPLE.

“Right after Beyoncé walked in she put on her sunglasses,” says the source. “They just stayed for a couple minutes inside.”

While the star-studded event was attended by Jimmy Buffett, Jon Bon Jovi, Molly Sims, Bethenny Frankel, Karlie Kloss, Calvin Klein, Sarah Jessica Parker, Matthew Broderick and many more, Jay Z and Beyoncé were clearly the special guests of the night.

“It was beyond packed, but no one cared,” says the source. “Everyone was sweaty, dancing and singing along to every word. The most popular songs were Paradise, Yellow and The Scientist. Jimmy Buffet and John McEnroe were bartending and everyone loved that.”