Dim the lights, you can guess the rest.

As a matter of fact, you have no choice. The stage at the Brighton Dome is so gloomily illuminated – gloominated - that for most of the show, nobody has any real clue what Bryan Ferry looks like. And nobody cares. People are here because of the idea of Bryan Ferry. (I'm here because of the ideas of Bryan Ferry, which isn't quite the same thing, but we'll come to that.)

A Bryan Ferry audience looks exactly as you'd expect it to. Elegant messieurs-dames. Women who look like Gloria Hunniford and men who look like Michael Aspel. Oh, and one drunken MLFF (Mom who'd Like to Fuck Ferry) who shouts “Come on, you little sex kitten!” before the 70-year-old saunters on.

At first, here's barely there at all. His movements are those of a movie actor, not a stage performer, built from just the slightest gestures: biting his lower lip, rolling his shoulders, and making slow motion fingerclicks which, if they were miked up, would just go 'pfff'.

Which is more or less what the music does, at first anyway. Bryan Ferry has spent the last three decades perfecting a sound which Taylor Parkes unimprovably described on tQ a year ago as “an expensive gas”. The opening two tracks, taken from 2014's Avonmore, sound as though the next logical step would be for his music to vaporise completely and dissipate into nothingness. Till it isn't there any more, and nor is he.

We're only six songs in when he abandons his own material completely and surrenders his persona to someone else's. Even before he made his debt plain by recording 'A Hard Rain's A-Gonna Fall' in 1973, Bryan Ferry's vocal style sounded like a Vic Reeves pub singer pisstake of Bob Dylan, and there are two Dylan covers in a row, complete with harmonica: 'Bob Dylan's Dream' and 'Don't Think Twice, It's Alright'.

It's an act which goes beyond self-effacement into self-erasure. And the strange thing is, it does him no harm whatsoever. Nobody buys into Bryan Ferry as a personality, because there isn't a personality there to buy into, just an empty cipher, an attractive patina of suaveness and class.

God forbid anyone try to engage with the reality, anyway. Bryan Ferry probably isn't a very nice man. Actually, scratch the 'probably': Bryan Ferry isn't a very nice man. No, I've never met him, but I won't defer to anyone telling me how charming and considerate he is in person. His enthusiasm for fox hunting, which he shares with his idiot son, tells you all you need to know. The Ferrys' enthusiasm for the right to chase to exhaustion, torment and tear apart a sentient creature for kicks demonstrates that Bryan Ferry is not, by definition, 'a nice man'.

It doesn't matter. I'm a fully paid-up member of the Bad People Make Good Art club. Some rock stars have fiddled with kids. Some have murdered people. I still listen to their music, and I bet you do too. Bryan Ferry has played benefits for the Countryside Alliance, come out as a fan of David Cameron, and described himself as “naturally conservative”. In the scheme of things, these are small-time sins. It does mean that during some of the slower sections of the concert, I get an unwelcome mental picture of Ferry in a crimson hunting jacket, shouting “Tally ho!” while Madonna bags up the cadavers and PJ Harvey tells us it's fine because we city folks don't understand the ways of the country. But you've got to put this stuff out of your mind sometimes, or a love of rock & roll becomes untenable. Don't think twice. It's alright.

It's the final night of the Avonmore tour – interrupted due to a health scare late last year - and Ferry deserves to be commended for a thoughtful, inventive set list which is neither a case of death by new album (there are only three tracks from it) nor a predictable greatest hits show (even if that means we miss out on some belters). Instead, he reaches for non-obvious album tracks and deep cuts, both from his solo career, the title track of Bete Noire (the 1987 album he made with David Gilmour and Johnny Marr) being an unexpected gem, and the Roxy Music back catalogue, including 'Stronger Through The Years' (from Manifesto), 'Editions Of You' and 'Beauty Queen' (from For Your Pleasure) and, from their self-titled debut, 'If There Is Something', and a particularly stunning 'Ladytron'.

If one album is over-represented, in fact, it's Avalon, Roxy's super-slick 1982 farewell, from which four tracks are played, including the airbrushed title track and 'More Than This', once used on an in-flight advert on Virgin Atlantic planes for Richard Branson's private holiday resort, Necker Island. It's no surprise that Branson chose that track (and not only because, from 1992 onwards, Virgin owned it). Avalon-era Roxy were straightforwardly, uncomplicatedly aspirational. If Amazon existed in the 80s, it would tell you “People who bought Avalon also bought Diamond Life by Sade and No Parlez by Paul Young”. If Patrick Bateman had a favourite Roxy Music album... well, you get the picture.

That isn't how it began. Roxy Music were the first band of the 70s, in any sense that matters, emerging at the instant that B&W ceded to colour. They were also simultaneously the first modern and the first postmodern band, playfully using referentiality to the golden age of Hollywood and the heyday of rock & roll while making thrillingly futuristic music.

Incidentally, I don't buy the idea that the greatness of early Roxy was all Brian Eno's doing. Ferry was as art school as anyone, and there's an argument that Eno's synths, as radical as they were, functioned as window dressing, certainly no more important than Andy Mackay's use of jazz/classical instruments (saxophones and clarinets) to avant-garde ends.

Almost incredibly, Ferry and his band incubated their aesthetic while living among the same sodium-lit streets of Newcastle where Lindisfarne were meeting on the corner, in a North East that looked how it looks in Get Carter. At that point, their references to the high life - “If you feel blue, look through Who's Who” - were played with a knowing laugh and a wink.

Somewhere along the way, midway through the 70s, the knowing irony was lost, and Ferry/Roxy took the aristocratic trappings literally. Pop culture is, or at least was (before the genuine upper classes got their filthy paws on it), a vital motor for social mobility which, to quote Roxy Music's debut single, “opens up exclusive doors”. What you do when you get through those doors is crucial. Ferry turned out to be a dreadful social climber who, once he found himself rubbing shoulderpads with the elite, went native, and fell for all that Lord Of The Manor nonsense hook, line and sinker, hence his fondness for Basil Brush-bothering.

We're doubtless meant to be thinking sophisticated thoughts, and not (as I am) of gruesome photos on Hunt Sabs leaflets, when Ferry leaves his (superb) ten-piece band to have their their instrumental moment in the dappled spotlight, and wanders off for a Campari. On his return, it's greatest hits time at last, albeit not wholly the hits I crave. We don't get 'Same Old Scene', the sublime 1980 single which, like Bowie's 'Fashion', seemed to tell the New Romantics, “Oi, I was here first." Nor do we get 'Street Life', with its dizzying, almost Situationist sense of possibility (“the good life's never won by degrees”).

But the population of the stalls lumber up and limbo down to the front for 'Love Is The Drug', and for 'Let's Stick Together' Ferry himself livens up with some dad-dancing and affirmative handclaps. 'Virginia Plain' and the absurdist 'Do The Strand' represent the era when Roxy Music were so far ahead of the game that they were doing victory laps, and are both utterly magnificent.

A mirrorball descends for the encores, and Ferry croons Lennon's 'Jealous Guy', the only No.1 Roxy Music ever had. As he purses his lips for the whistling solo in the outro, like a posh postman, I have two thoughts. The first: does Bryan Ferry feel daft? The second: does Bryan Ferry feel anything at all?