Yes, you must tell them. The last thing you want is to be unhappy about going on a date. Regardless of the reason as to why you don’t want to go to the chosen date venue, be honest and explain that you’d rather go elsewhere. Maybe come up with an idea first and insist you go there before they go ahead and choose. The date is all about getting to know each other and not just about where you go. Meeting for a first date can be stressful enough as it is without having the added pressure of not wanting to go to a particular location.