[Alatariel]

I always rather liked this line. Yes, Tolkien could have had him say something like those mentioned above, but it does not hold the same eloquence as those three words. At the point when he says this line, the fellowship really cannot help him with the Balrog, as it is already falling down into the pit - and dragging him along with it. It is certainly not meant to belittle them, he is simply telling them to get out and not die foolishly trying to save him. There really is not anything that any of them could do at that point besides fall into the pit themselves, and Gandalf knows it.