Seriously. Gandalf is over 2000 years old. He's seen a lot more shit than Dumbledore ever saw.
And to whoever said that the Balrog was just a minion. Bullshit. Durin's Bane was a Maiar (Just like Gandalf, Saruman, and Sauron) who was corrupted by Morgoth long before LotR. He is another servant of Morgoth just like Sauron is and the only reason Sauron is more powerful is because of the One Ring. Also, Sauron didn't control Durin's Bane, in fact nobody even thought that any of the Balrogs survived the ancient wars that occurred thousands of years before the LotR era. Durin's Bane hid in the Misty Mountains and was awoken by the dwarves that mined too deep looking for Mithril.
Durin's Bane was not simply a servant of Sauron. He was equal in power to Sauron and even more powerful than Saruman. Not merely a side-boss that Gandalf had to kill so that they could keep going on their Journey.
Durin's Bane = Sauron in terms of strength. Sauron just gets the extra edge because of the One Ring. Without the ring, they would be equal in strength.