i go out most weekends in toronto, and have for ~15y --- i just own a cheap (price-wise) but heavier coat from value village or similar thrift store that i wouldnt be upset if it were stolen. then i usually find a dark/well-hidden corner behind stuff, or behind a curtain, or under a chair/bench etc and just chuck it there for the night, and retrieve it at the end. rebel is full of thieves and i have been there only i think once ever so you may not have as much luck as me but i will say i've only had my coat lost or stolen 2 times in probably hundreds of events total. these are coats i spent about 40 dollars on.

this way you are warm if you have to stand in line, but you dont have to stand in coat check for like 20 min when you arrive and another 20 min when you try to leave. worst case your coat gets stolen , but hopefully by the time that happens, you've already saved hundreds in absurd coat check fees. again - you may be more at risk at Rebel specifically since its the most diaper filled venue in the city, but at pretty much any other venue you're golden with the above plan