[Farael]

Balrog's armour is an interesting matter. I'm on my laptop now so I don't have my word copy of LoTR for quotes, but when Aragorn, Legolas and Gimli meet Gandalf in Fangorn Forest, Gandalf says they have no weapons that can harm him. Since both Gandalf and the Balrogs were Maiar, one would assume that third-age weapons would not be able to hurt a Balrog.

However, since we see Glorfindel slaying a Balrog, it could be assumed that they could be harmed by SOME weapons.

So, in the first-age it seems likely (as shown before by others) that Balrogs wore armour. So the question is, would the lone Balrog that we know lived until the third age have kept their armour on?

Well, first of all we know this balrog was trapped/hybernating for a couple ages, so I'd assume that when he emerged at first he was still on "first-age mode" meaning that he'd go to battle with his armour on.

Whether he learned that no "modern" weapons would hurt him or not and decided to ditch the armour is anyone's guess. If I'm not mistaken, Gandalf's weapon was an ancient weapon from Gondolin so it COULD hurt the Balrog, as we see it does.

Perhaps the reason why Gandalf, who was forbidden from showing his full power, was able to beat a Maiar without such restrictions is that the Balrog was no longer wearing his armour

But of course, this is all mostly speculation