It's not an article, it's a preposition and the only explanation is that it's the proper way to say it. You just have to remember. Yet many people say "in".

You would go "to" a place or "to" an event (circus, game, concert) in order to watch something that you are not really a part of. If you say "in" the circus or "in" the concert, it implies you are part of (performing in) the event. You could use "at" by saying "I will be at the circus this weekend", or "I was not at the concert last week" - just a different construct (was at .vs. have been to)

If you said 'in ' a circus I would assume you were talking about being a performer.

That is wrong. The correct preposition is "at because you are talking about a place.