Chat with Support and reference this article. 

Verify the connecting statements are correct. For example, are you using OR when you want to use AND.

Note: OR should be used when you want results from either criteria category. AND should be used when the results should be both of the criteria

Possible Workaround for the given example:
 
Create a segment  (BB739123) for current participants/donors, then add the existing current participants and donors to the segment via a Batch Update.  Finally, set up Add-On Auto-Segmentation (via Website Info > Customize Forms) in current events so that future participants and donors will be added to the segment.  
 
Then, build the query using the following setup:

Current Event Participants
AND Not Segment Current Event Participants/Donors