What if...

[Boromir88]

first of all Gandalf killed the balrog. assuming that the balrog lived that would mean that Gandalf would have died, and there was no way that that was going to happen, so that takes care of the balrog.

Gandalf did die.

As for if it attacked Lorien. Hmm, I would say Galadriel would be able to defeat it, but I don't know if she would risk it or not. Since, you can't kill a balrog without sacrificing your own life (atleast telling from the history of Balrog slayings). I wonder if Elrond would have sent Glorfindel to do the dirty work, because I don't really even see Celeborn defeating the Balrog.

I don't see any reason why the Balrog would get the sudden urge to attack Lorien, but it is an interesting what if question.