<geek>
Correct. In fact, it wouldn't have been POSSIBLE for the Witch-king to have done so. The Witch-king was "merely" a Man corrupted by Sauron, enslaved, and granted additional power by one of the Nine.
Gandalf was a Maia spirit, so by HIMSELF was a being several orders more powerful than the Witch-king could be, AND he also had one of the Three to bolster that as well.
In the books Gandalf was actually about to pursue the Witch-king when he fled on the arrival of the Rohirrim. Pippin interrupted him to tell him what Denethor was doing (rather than the encounter occurring AFTER Pippin summoned Gandalf, as in the movie). Gandalf could have destroyed him with hardly a second thought.
</geek>
