Mostly found on St. James Street, a street where women were not allowed on unescorted. Very racy street. The original Red Light District.
Why go there? Gambling, drinking, sex.
What kind of sex? The discreet kind. Sure, meeting a prostitute or having an affair is fine, but homosexual sex as well. Discretion was the key to these clubs, but even homosexual sex needed to be kept quiet.
The servants were key to this, and it was imperative to have ones that could keep their mouths shut!
More if you're interested:Jane Austen's World
Everything of Interest to a Romance Writer