What on Earth makes you thing all native speakers of any language always get it right?
I'm inclined to waste my time in the avenues tonight
Another night down on the avenues
are simply not comparable.
They share pretty-much nothing but ‘the avenues’
Did you notice that ‘I can not find subtle difference between two sentences’ is certainly not what you meant?
You might have meant ‘I do not understand…’ and what makes you think that is anything like the same thing?
Please carefully note, when one says 'on avenues and in avenues but both in the context of place,' one is clearly confused; OK?
There is no difference between in or on the avenues.
It’s very difficult to imagine any circumstance in which it might be appropriate to think of you or I or anyone else being at the avenues…
All that Barmar says is wholly right and at, in and on are perfectly interchangeable, with or without the ‘down’ depending on the circumstances.
… down at the avenues
… down in the avenues
… down on the avenues
are clearly interchangeable in most circumstances and that doesn't change the fact that the examples you posted are in no relevant way comparable…