It's OK to walk out of the theatre before the show is finished. I've done it several times. No one's obliged to sit through something dull or misconceived or puerile and, when you decide you're not staying, that feeling of relief, of suddenly getting your evening back, can be as refreshing as spring rain. It needn't be, of course, a comment on the show; sometimes, you just realise you're not in the mood, you've got other things on your mind, you've got more urgent things to be doing. Sometimes you're just too damn hungry.

And sometimes the show is just not what you thought it was going to be. I saw Caryl Churchill's incomparable masterpiece, Far Away, in the West End in 2001. It's an extraordinarily powerful piece of work, a great playwright coming to terms with the obligations and horrors of global conflict; as the house lights went up, the man beside me turned to his partner and said "I'm SO sorry, darling, I thought it was going to be a comedy." He didn't walk out, in fact, but one might have understood if he had. It's no fault of Far Away that it fails to be the comedy that he'd mistakenly assumed it to be.

Which raises the question: if a show isn't what I want it to be, is that my problem or the show's problem? This topic came up last week, reading Stuart Jeffries's piece about walking out of Top Girls. It's a terrific provocation: Top Girls is a bit of a sacred cow in contemporary British theatre, so reading any criticism of it is challenging and stimulating. And – as I have written elsewhere – I had some problems with the production myself. What I found puzzling, though, is the implication that not only are you entitled to walk out, but, only having seen one-third of a play, you can still validly hold forth about it.

This attitude – and I'm not talking about Stuart Jeffries here – seems to rest on the assumption that the customer is always right. But audience members aren't customers in the ordinary sense. It's legally complicated to work out what you're paying for when you pay for a seat in the theatre. The right to a particular seat? The right to see the show? The right to see the show played well? The right to see it with those particular actors? Each of these can be legally foiled by unreserved seating, restricted views, bad nights or understudies. More broadly, there's an assumption that any response to the theatre is a valid response. This is fine until you put any pressure on the word "valid". People can hold whatever wrong opinions they like – the belief in ghosts, telepathy and the Resurrection is all part of the gaiety of nations – but this sanguine attitude doesn't entail that everyone is right. At its best, the theatre is complex, even difficult, and it's very easy to retreat from or to find short-cuts that circumvent that complexity.

One of these shortcuts is a belief that theatre – especially political theatre – is about a message. And it's not just audiences or critics who believe that. There's a very funny moment in that great work of theatrical commentary, Asterix and the Cauldron, where Asterix and Obelix, trying to raise money, join a theatrical troupe in Brittany. The artistic director is Laurensolivius, who believes "we have to give the public what it wants: a message!" In the improvised piece of "In Yer Face" theatre that follows, the company goad and insult their audience, much to the audience's delight. Things only go wrong when Obelix, told to say whatever comes into his head, mumbles his perennial observation "These Romans are crazy", which turns out to be a message too far. The show is closed down by the occupying army.

But if the theatre were about messages, wouldn't it be simpler to email everyone? Jeffries – writing, I suspect, with tongue firmly in cheek – describes much political theatre as running into the room and saying things like: "Do you know what I've just realised? Women are living in an individualistic society in which the few thrive at the expense of the many." And indeed this is not a "message" that many people would need to have disclosed to them. But this is a cheap trick. You can reduce the complexity of any artwork to a truism and then dismiss it for banality. What does Citizen Kane tell us? Money can't buy you love. What do we learn from Macbeth? What goes around comes around.

The problem is when we get so anxious not to miss the point that we end up pulling apart the play, trying to get at the important message within. But theatre is not a fortune cookie. In fact, maybe one of the definitions of bad theatre is that it can be reduced to a simple message – and even then we have to be ensure that it isn't us, in the audience, turning the theatre experience into a one-line platitude. This reduction happens out of an attempt to foreclose on the difficulty of a theatre experience, its endless dialectics, its ambivalence, the way an authorial voice is split between characters, the way responsibility for meaning is shared between stage and auditorium, the way that the theatre places a frame around these actions and complicates and multiplies their significance. And if we don't rise to that challenge, well, maybe we're wrong.

Almost 30 years ago, Howard Barker's play A Passion in Six Days, an incendiary satire set during a Labour party conference, was performed at the Sheffield Crucible and its local MP, David Blunkett, came to see it one night but left before the end. In a powerful poem, Barker suggests that Blunkett's refusal to stay and experience the complexity of the play was a sign of his failure to accept the complexity of his party's political position. The poem ends with an effective counter-retort to any attempt to simplify the theatre experience, either by walking out or just searching for some elusive message: "the actors dared and you did not".