Balthazar was apparently a thief who stole a dangerous necromantic scroll from the Net of the Mask. Something unknown killed him on the rooftops of the Inner City before he could return to his fellow Rogues at their rooftop hideout.
Balthazar is more a catalyst than a character.
Scarlett will probably find Balthazar's body lying on the Inner City Rooftops. His ghost isn't present to speak with, even if Scarlett has the skills. How he died is, perhaps, a mystery, though subsequent events will give Scarlett a probable cause. Searching his body will find a necromantic scroll and will trigger two other encounters, one with the (probably first) Living Statues, and then another with Nox that will trigger the Lost Knowledge quest.