I attended a few gangbangs a couple years ago, which were hosted by a very entrepreneurial individual who was making bank off charging the guys who were attending.  They were hosted at a mid priced hotel in Schaumburg.  It's like having a small party at a hotel.  You just need to enforce certain rules such as moderation of excessive noise and not letting anyone get overly drunk/high.

I'm sure you can host one pretty much in any hotel, just have your rules planned out in advance and be smart about your logistics.  

CE