From a study by Katayama S, Hori Y, Inokuchi S, Hirata T, and Hayashi Y:
Theta activity in EEG was found to be augmented in the frontal midline area in 5 young women while they played classical piano pieces and during related mental tasks. This activity was considered to be a frontal midline theta rhythm with the maximal amplitude mostly in Fz and of the frequency ranging from 5 to 7.5 Hz. This theta activity was observed to increase depending on the degree of the subjects’ concentration on piano playing or related tasks. In bilateral parietal derivations, increases in the power value of alpha activity were observed in some subjects while they were listening to music, suggesting that alpha activity was involved in appreciation of music.
What we know about theta waves suggests that these waves originate in the hippocampus and travel to other parts of the brain. Theta waves have been implicated in memory (especially the formation of long-term memory), spatial navigation, learning, and some kinds of behaviour. Loss of theta waves is an early indicator of Alzheimer’s disease, and so any activity that increases theta waves may be a useful preventative against Alzheimer’s disease. In addition, theta waves are normally found in deep meditative states, or “twilight” dreaming states, where these waves are associated with deep relaxation.
Therefore, the appearance of these waves while playing classical piano is somewhat surprising, but welcome news. If you are attempting to increase your theta wave activity, this is an alternative to the products sold on the Internet that may or may not work, whereas playing classical piano does work to increase theta wave activity.