In this case the definite article doesn't refer to a definite theater, but a definite activity. It's like "I went to the barber/store/movies/circus/ballgame/dentist/cinema/etc. In my opinion, if you said "I went to a theater/dentist/cinema/etc, the meaning would be essentially the same, except there's some emphasis on the fact that you didn't go to any particular dentist; while if you say "I went to the dentist" it would probably be understood to mean "I went to the same dentist where I usually go," but not necessarily.
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