Cold rock concert finally brought inside by shivering roadies (8)
I believe the answer is:
asteroid
'cold rock' is the definition.
'concert finally brought inside by shivering roadies' is the wordplay.
'finally' indicates one should take the final letters.
'brought inside by' means one lot of letters goes inside another.
'shivering' is an anagram indicator.
The last letter of 'concert' is 't'.
'roadies' anagrammed gives 'aseroid'.
't' put into 'aseroid' is 'ASTEROID'.
(Other definitions for asteroid that I've seen before include "Small planet revolving round the sun" , "Ceres, say" , "could be dangerous for astronauts" , "Piece of rock that moves around the heavens" , "Small celestial body composed of rock and metal" .)