Balanced connections can reduce interference - including RFI & EMI - because the signal comprises two hot legs - one out of phase with the other - and a separate ground. Interference is typically induced equally into the two hot legs. The balanced circuit then reverses the phase on one of the hot legs (I'm oversimplifying, because getting into things like differential amplifiers here won't be helpful) and combines it with the other hot leg. The interference is now in phase on one leg, 180 degrees out of phase on the other, so the net result is that they cancel each other out, leaving the original signal intact.