There's no audience. He performs, as do others. The sequences are not connected, and though some of them make sense on their own, they form no coherent story.
It feels like Holy Motors was made by a French Roy Andersson on mushrooms. Leos Carax probably decided conventional cinema is just too... conventional. One of those conventions overthrown is that of whom exactly is the actor and whom the audience. If there should even be such a thing. The intro shows the protagonist waking up and entering a cinema, in what might (or might not) be a pre-story dream sequence. It's the nature of cinema itself that's ultimately at question. Are there cameras? For whom? And who directs?
Confusing, but with some intriguing scenes that'll stick with you for quite a while.