Tolkien is not at all specific:
'Long time I fell,' he [Gandalf] said at last, slowly, as if thinking back with difficulty. 'Long I fell, and he [the Balrog] fell with me. His fire was about me. I was burned. Then we plunged into the deep water and all was dark. Cold it was as the tide of death: almost it froze my heart.'
'Deep is the abyss that is spanned by Durin's Bridge, and none has measured it,' said Gimli.
'Yet it has a bottom, beyond light and knowledge,' said Gandalf. 'Thither I came at last, to the uttermost foundations of stone. He was with me still. His fire was quenched, but now he was a thing of slime, stronger than a strangling snake.
'We fought far under the living earth, where time is not counted. Ever he clutched me, and ever I hewed him, till at last he fled into dark tunnels. They were not made by Durin's folk, Gimli son of Glóin. Far, far below the deepest delving of the Dwarves, the world is gnawed by nameless things. Even Sauron knows them not. They are older than he. Now I have walked there, but I will bring no report to darken the light of day. In that despair my enemy was my only hope, and I pursued him, clutching at his heel. Thus he brought me back at last to the secret ways of Khazad-dûm: too well he knew them all. Ever up now we went, until we came to the Endless Stair.'
So we know only that Gandalf fell for a "long time" to the "the uttermost foundations of stone", a place "beyond light and knowledge" which was "far, far below the deepest delving of the Dwarves".
However, the terminal velocity of a human body is about 55 meter/sec, not 700, so even if Jackson's cinematic chosen-for-dramatic-value guess is correct, we're "only" talking a couple of kilometers.
(And if you want to get hyper-picky, two other points: First, the fall was measured from a starting point inside the Misty Mountains. They may have started a kilometer above sea level, for all we know, and thus not be very deep into the crust. Second, if they did start near sea level, after they fell the first kilometer, the density of air would exceed that at sea level and terminal velocity would actually decrease somewhat.)