I know, I am being difficult but why not "into that theatre too?" (rejected) what about ahhoz a szinházhoz?
Remember, the course is being improved under our feet, so, hopefully, the totally unnecessary "into" versions should be going away in many exercises. :)
This sentence is talking about an activity that English expresses as "going to (a) theater" and Hungarian does as "színházba menni". The assumption is that at one point you will enter the theater building ("bemenni a színházba") and enjoy the show.
But we could just have a date, or some errand to run, which takes us to (or near) the theater, without the intent of going into the theater. For example, if you want to catch a taxi, go to the theater, there are always a few of them waiting in front of it. Then you would say "színházhoz".