Balfour was killed in Cleve, Germany by a shell burst while he and some other men were attempting to relocate pieces of a medieval altarpiece to safety. He was the first of two Monuments Men killed in action. Lt. Col. Sir Leonard Woolley, Adviser to the War Office on Monuments, Fine Arts and Archives, paid tribute to his countryman writing:It is a great and unexpected blow. He was so cheerfully delighted at being at the front and was killed when actually engaged in saving some of those works of art, which he loved so much.