[Noxomanus]

I think the Balrog may have been attracted by the power of the Ring and that is why it goes after the Fellowship and didn't blame the noise on the Orcs.

Also,the Maia nature of Gandalf might be telling. It seems Gandalf could sense Sauron as a Maia instead of a Nazgul in Dol Guldur and the Balrog might have had similar powers.