No arena venue would have satisfied the huge tickets demand for his solo tours.
Also, the costs (for staging those concerts) were very high, so they had to recoup those expenses by using stadiums of bigger capacity for his shows, especially for the Dangerous Tour but more importantly for the HIStory Tour.
The required costs for the theatrical concept of the HIStory Tour were too high.
Paul Gongaware, for example, testified that the HIStory Tour was very expensive in its staging to the point where it did not make a profit, despite the sold-out stadiums back then.
Imagine what would have happened (in terms of losses) if MJ performed in small arenas during the HIStory tour.
Additionally, there was another reason that explained the use of huge stadiums (instead of arenas) for his shows.
MJ wanted to set new attendance records on many countries in which he performed during his solo tours.
For example, MJ & Wembley Stadium made history together on July 17th (1997) when the ‘one million’ ticket was sold.
Also, the two HIStory shows in Aloha set a new record there surpassing even previous attendance records coming from Rolling Stones or The Eagles who performed there before him (according to local tour promoter Tom Moffatt).