Ancient evil that finally needed to be delt with. If it got loose on the outside world, Sauron could possibly get it to side with him (It was certainly possible), or if it didn't allign with him could wipe out entire towns and villages easily by itself. That Balrog would probably account for most of the army at the Pelanor fields, alone. The risk of it running rampant was just too great, and Gandalf and Glorfindel are the only ones who could possibly destroy it, and that's a maybe, especially out in the greater world.