When John arrives at the big holiday party on the 30th floor, a small string ensemble is playing classical and seasonal music. They're located in a musicians' gallery, partway up a side wall, a kind of balcony, with a stairway for access from the main room, possibly a doorway to an upper hall behind them. Shots are fired, Hans and his merry men arrive, and the employees of Nakatomi Corp. are harried into the central room with the small fountains, stonework, pools, plants, etc. The musicians are seen once, running down the stairs or away from the situation, with their instruments.
What happens to them?
They can't get out; the building is locked down, the elevators (entrance in the room with the hostages) are stopped. They are not shot, harassed, or anything else onscreen. They are not among the group on the roof, later. Neither they nor their instruments are seen again for the entire movie.
I have a theoretical answer.
They are not human; they are fey musicians, arranged for by someone at Nakatomi who has connections to the Faerie world. When danger arises, they move down, huddle with the crowd and vanish, in such a way that they are not seen doing it -- and so many people are in shock at the terrorists' arrival that their leaving isn't noticed.
They make their way back to their homeland -- there is a gateway nearby, in the green area surrounding the building; the Los Angeles fey community has used it for centuries, and the modern era's takeover of the region with concrete and steel does not affect them; as long as the steel is not exposed and they are not forced into contact with it, it is not an issue. And they report what has happened to their region's queen.
The queen parts the gossamer curtains and scries in a pond in the mortal world. "It will be well. McClane is there." And she forbears to send elven troops to deal with the interlopers.
The magicians huddle and murmur. Who is this McClane? Ahh, *that* McClane, the reincarnation of one of their mightiest warriors, canny and powerful, who goes this time in the guise of a NY city cop, the better to fit into the culture. All will indeed be well.