Gandalf fought the balrog because he was forced to. The party could not run away fast enough, and no one else stood a chance against the balrog.
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The balrog attacked Gandalf and the party because it was an evil territorial creature who attacked any who ventured into its area. Gandalf attacked the balrog because he was the only one who could realistically fight the Balrog. As the balrog was massive, they could only run for so long before having to fight.
A Balrog
The Balrog is the beast of Morgoth that killed Gandalf in The Fellowship of the Ring. It is said to be made of fire and ash and carry a firey whip.
It's called a "Balrog"
A Balrog of Morgoth that had lived in the mines for many years. He defeats a balrog in the Mines of Moria.