The event marked the 40th anniversary of the entertainment venue the couple set up together at their Buckinghamshire home.
The 82-year-old saxophonist, whose career spanned more than half a century, died on Saturday in King Edward VII Hospital, London. He had been ill for several months.
Jazz singer Laine broke the news to the artists before the concert began, but did not tell the 400-strong audience until just before the finale, said Monica Ferguson, chief executive of The Stables, in Wavendon.
She added: “She felt that it was really important to go ahead with the show. She wanted to maintain a sense of the concert being a celebration, because John had put a lot of thought into it, she wanted to make sure that we didn’t bring the audience down.
“I think the audience had a great sense of shock. There were a lot of gasps and people I spoke to afterwards were visibly shaken and moved by it.”
The concert featured performances from Cleo, the couple’s jazz musician children Alec and Jacqui, as well as stars including Paul O’Grady, Prunella Scales, Maureen Lipman, Timothy West and Victoria Wood.
Ferguson said: “The sheer grit and will of the family, to go on in those circumstances, was astounding.”
The Stables is also launching a ruby endowment fund to assist its educational and artistic work.
Better known as Johnny Dankworth before he was knighted in 2006, he started his own jazz orchestra in the 1950s and worked with Duke Ellington, Nat King Cole and Ella Fitzgerald.