What should I do if somebody tell me go away at nightclub or a bar for no reason?

Greedy - reading your question and your responses to the two answers so far, it seems we don't really understand the situation.

Possibles:

a - You are in an area first, just standing around.  It's a common area, no special VIP place in the bar, etc.   You are chill and just doing your own thing.  Others (one or more) come into that same area and tell you to leave.   Sure, you can refuse - first come first serve and all.   BUT common sense and "discretion the better part of valor" and all - would it be worth it to stand your ground?  [only YOU can decide]

b - Situation above is "flipped" (as it seems from your post and comments) - others are in an area and you move into that space.   You are free to do so as it is a "public" area.  Being told to leave probably means you have invaded a socially acceptable space for one or more in the group and asking you to leave is not out of line.  Same discretion question applies.

c - seats, stools, tables, etc are frist come first served.  As mentioned, good social etiquette means you ask "is this taken?"   IF no, then you may sit there as long as you wish - so long as you respect the space of others and not be creepy or obnoxious - earning a request for you to leave.

They told you to stop harassing them. You should do so.

You KNOW you were not just sitting at the bar.

Unless you like fighting over an empty seat in a bar, you should really listen to anyone who tells you to leave.

We live in a society that includes other people. Reasonableness and politeness should tell you that wherever you choose to sit, others may already occupy that table, bar stool, etc. Therefore, the polite thing to do is to ask "Is this seat taken?" or "Do you mind if I sit down?"