Balrogs were apparently wholly tied to their physical bodies once they became balrogs.
Saruman was a wizard when he died...when the five Maiar became Istari, they too were bound to the physical bodies, at least until their task was completed, or they were called back to Aman otherwise. Additionally, Saruman was very weakened and simply caught unaware. He certainly died, but that doesn't mean his spirit simply ceased to exist - that is the case with no one, even mortals.
I've explained this recently in
this thread, appropriately titled "Maiar Spirits' Bodily Forms."