Actually, I think that there ARE rules, but the reality is that there's the legal world and there's the real world. When you're in the club, there's only side that matters...the real world.
I'll leave the legal world discussion to the experts.
In the real world, the consequences are whatever the situation dictates and warrants. You are usually left at your own devices to figure out what those consequences are and, to a certain degree, you have some control to determine what they might be.
For example, some people are agressive and try to state their right to record and argue the situation out. Well, that's just a losing strategy.
Others are totally passive. In other words, if you get caught, you simply pack up without any questions asked and head for the doors as quickly as possible to prevent 'a situation' from happening. Personally, I stealthed in the old days, and I got nabbed twice and this was my strategy because frankly, I figured I had too much money wrapped up in my gear to risk it to the situation. I'd rather have all my gear safely in my car than risk having it damaged or attempting being confiscated by someone...simply for the sake of getting a recording.
In any case, the bottom line is NEVER give up your gear. Give up the tapes, give up the batteries, etc. but don't give up gear. In fact, NEVER let anyone else even touch your gear, because they might rip it apart when they remove the tapes. While you might have a legal recourse, you really have no practical recourse to being compensated by the club if your gear gets ruined.
So, that's a long introduction to the specific answer to your question, but the usual consquences to getting caught are usually that you'd get a verbal scolding and hand over the recording to the bouncer...you may or may not get kicked out of the performance.
If you make a scene, it'll make it easier for them to remember you so that you could be singled out in the future at the same club.
If the club is taper friendly and you're in violation of club rules (taping a non-taper friendly band?), you could be jeopardizing future taper friendliness or specific policies related to taping for other tapers at that particular venue.