I'm not sure it was his playing saxophone that got him in trouble with security, so much as the fact that all he was wearing were leather pants and suspenders.
But if I'm wrong, what's the world coming to? It should by no means be illegal to play beautiful music on a musical instrument in public. The Feds are turning this country into a wasteland of tyranny and conformity by stifling the culture that made it what it is today. It's not as if he was asking for tips, he was only playing for people to enjoy.