My hero...the Balrog???

[Glorfindel_of_Gondolin]

Glamdring is a special sword, but no less special that the sword Anduril, the Aragorn carries at the same event. Of course, in the movie, Aragorn has yet to be given this sword, but on the whole it is a moot point.
Gandalf was revering to more than merely literal application of weapons in his statement, he could have easily said "Axes are no more use here,'" and so on.

The point is that, as Gandalf puts it himself "This foe is beyond any of you," with or without a sword. He can challenge the Balrog on fairer ground as they are of the same race, and thus share a similar power, one that is not measured in steel. He overcomes (and dies in the feat) the Balrog with his own power, and the sword is just an instrument through which to wield that power.