The band played stadiums around the world in 1971 but opted to play smaller venues, including St Matthew's Baths, to promote Led Zeppelin IV.
BBC Radio Suffolk presenter Stephen Foster said it had become known as "Suffolk's greatest gig".
The signed poster attracted a Â£2,000 bid but this was below the Â£2,500 reserve.
Auction house Bonhams said a representative from Island Records had grabbed the 51 x 76cm (20 x 30in) poster from the wall and got it signed by Jimmy Page, Robert Plant and John Paul Jones - missing out drummer John Bonham.
Natalie Downing, from Bonhams' entertainment department, said: "According to the representative, John Bonham could not be found after the concert as it was expected he had left with a groupie."
Tickets for the gig were Â£1 and the band's set list included favourites including Whole Lotta Love and Immigrant Song.
Mr Foster said: "The stand out track is Stairway to Heaven and the Ipswich audience would have been among the first to hear that, along with tracks like Black Dog and Rock and Roll.
"Although The Beatles had visited the town during the height of Beatlemania in 1964, rock giants Led Zeppelin playing at a swimming pool was something extra special - surreal, in fact."
Nigel Rea went along with a "gang" of friends and managed to take several photos.
"It was quite an important gig," he said. "The Baths Hall had lots of bands playing there but nothing like Led Zeppelin.
"I remember Robert Plant saying something like 'Haven't you got anywhere bigger?' and mentioning the board which was covering the swimming pool.
"Jimmy Page was awesome. At one stage he played his guitar with a violin bow and there was lots of feedback effects.
"It was a great show."
Another fan, William Martin, said the gig was "just incredible".
"I'll never forget it," he said. "I remember seeing Jimmy Page and Robert Plant arriving in a green Rolls-Royce for soundcheck.
"I saw them three times after that, but that night was magic. You were so close to them."
The baths building is now being used as a gym.
A poster advertising an intimate Led Zeppelin concert at a swimming pool in Ipswich has failed to sell at auction.