As noted in the quote below, Balrogs are Maiar that have "fallen", i.e. they were persuaded by Melkor/Morgoth to join him in his rebellion against the other Ainur. Sauron were also amongst these fallen Maiar and was accounted as one of Melkor's chief lieutenants, so it's possible there were communications between Sauron and the Balrog. However it's debatable whether Sauron knew about the fellowship's entry into Moria as to inform the Balrog.
"For of the Maiar many were drawn to his splendour in the days of his
greatness, and remained in that allegiance down into his darkness; and
others he corrupted afterwards to his service with lies and
treacherous gifts. Dreadful among these spirits were the Valaraukar,
the scourges of fire that in Middle-earth were called the Balrogs,
demons of terror. Among those of his servants that have names the
greatest was that spirit whom the Eldar called Sauron, or Gorthaur the
Silmarillion, Valaquenta - Of the Enemies
It is most likely the Balrog not only resented the intrusion into its domain, but when you consider Gandalf was not only a fellow Maiar, but also an agent of the other Ainur that defeated Melkor, the Balrog could have especially hated and feared Gandalf's presence in "his" mines.