Why is the balcony scene in Romeo and Juliet set in an orchard?

The orchard setting (Act II, Scene I) can have multiple meanings. Notably, at the end of the previous act, Romeo has climbed a wall to enter the Capulets’ orchard, symbolic of the traditionally male role of pursuit in courtship.
The orchard can therefore symbolize the feminine; that is, the female Juliet is receiving the male Romeo’s approach. Yet it can also symbolize the relationship itself, something that could potentially be beautiful and thriving if nurtured. Juliet reminds Romeo that the walls surrounding the orchard are “high and hard to climb,” representative of the major barrier to their relationship—their feuding families.
Further, the orchard can represent youthfulness—Romeo and Juliet are both young, and their relationship is young (Juliet calls it “this bud of love.”) Indeed, Shakespeare uses imagery that suggests growth and thriving throughout the scene, including sunlight, fruit tree tops, and a hopping bird.
The orchard can also be symbolic of Romeo and Juliet’s doomed love. Just as the orchard will inevitably go through the cycle of nature (growth and death), Romeo and Juliet’s relationship cannot survive.
The orchard setting is effective on multiple levels, reinforcing the play’s plot (pursuit and barriers), characters (youthful and beautiful lovers), and theme (doomed love).

There are a couple of reasons why Shakespeare sets the balcony scene (Act II, Scene II) in the Capulet orchard. First of all, you'll notice that Romeo is down in the orchard while Juliet is up on the balcony. The separation that is caused by this balcony acts as a metaphor for their relationship: they cannot be together because their families are sworn enemies, just as balcony prevents them from standing together.
In addition, the orchard also acts as a metaphor for the development of their love. Just as fruits blossom in an orchard, Romeo and Juliet's love is blossoming and growing as they talk to each other in this scene.
The setting of this scene therefore mirrors the context of Romeo and Juliet's relationship, as well as the development of their love for one another.