It's possible you are thinking of The Viper Room, a famous nightclub in West Hollywood, California. This club was not owned by Johnny Depp, but he did have a connection to it:
* He performed there: Depp played with his band, P, at The Viper Room in the early 1990s.
* It was owned by friends: The Viper Room was owned by a group of friends, including actor Johnny Depp, actor Sal Jenco, and musician/producer, Anthony Kiedis (Red Hot Chili Peppers).
* Tragedy at the club: The Viper Room was the site of the tragic death of River Phoenix, a young actor, in 1993.
So while Depp was involved with The Viper Room, he did not own it.