Now that you mention it, there really hasn't been anything resembling an upscale, well-heeled, dress-to-the-nines, high-energy, Euro-trash-type dance club since the Coliseum turned into Darcy McGee's about 5 years ago or more.
There used to be 3 or 4 different 'clubs' w/in that complex - the Rhino Room cigar bar, and a place that would have fit the description of nightclub/dance bar - Vogue (?), I think - one floor up.
Anyway, it's all pretty much just bars on the Chip Strip, Allentown, Elmwood, and now Hertel Ave is starting to buzz with some new places - some nice bars, but not the glitzy NYC kind of 'clubs' you're talking about.
And you're right - it is sad.