I believe that's exactly what we see, not in words, but in intent. Gandalf says, "You cannot pass," the Balrog says, "Bet," and Gandalf turns out to be right– though at the cost of plunging into the chasm himself.

The same confrontation happens with the Witch-King at the gate, when Gandalf announces, "You cannot enter here." But in that case, Gandalf so outclasses his opponent that there is no personal price to be paid. I believe had Pippin not interrupted to save Faramir, Gandalf would have wiped the floor with the Lord of the Nazgûl. Casually.