Concepts serve as fundamental abstractions that support human reasoning and categorization. However, it remains unclear whether large language models truly capture such conceptual structures or primarily rely on surface-level pattern memorization. Existing benchmarks are largely static and fact oriented, which limits their ability to probe fine-grained semantic understanding and makes them vulnerable to data leakage and overfitting. To address this limitation, we introduce CK-Arena, a dynamic benchmark for conceptual knowledge evaluation based on a multi agent social deduction game, namely the Undercover game. In this setting, LLM based agents are assigned subtly different concept words and must describe, distinguish, and infer conceptual properties from others' statements. Model performance is evaluated through both game level outcomes and the semantic quality of generated descriptions. Furthermore, CK-Arena leverages the interaction process to automatically construct high quality question answering data for fine grained diagnostic analysis. Experimental results show that conceptual understanding varies substantially across models and categories, and is not strictly aligned with overall model capability. The data and code are available at the project homepage: https://ck-arena.site.