It's past simple, because your arrival at the cinema and the fact of there being no tickets were simultaneous. When we reached the cinema, there were no any tickets left. Both parts of this sentence refer to the same time period. You would only use a past perfect to describe something that had occurred BEFORE your arrival at the cinema, for example: When we reached the cinema, all the tickets had already been sold.

Correction to previous answer: Either When we reached the cinema, there were no tickets left. or When we reached the cinema, there weren't any tickets left.

Hi Sasha, "When we reached the cinema, there were not any tickets left" The simple past is used here because we are talking about a specific moment in time. Hope that helps!