What is the ruling on joining clubs that play music, if all clubs in the country do so?

If there are no clubs free from objectionable matters, then it is not permissible to join them, and safety lies in not joining them. If a Muslim needs to socialize, let it be with righteous people who help him in obedience and remind him of it. For these are the ones whose company is beneficial, as Allah Almighty says: "Close friends on that Day will be enemies to each other, except for the righteous."