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Originally Posted by The Might
But then again we also have the quantum theory of balrog wings made by Galadriel which seems to show they do have wings...
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Actually, the quantum theory of balrog wings states that balrogs have wings. Or they don't. Or perhaps both options, or neither. But it says that
if you make an average of whether or not a balrog has wings at any point in time throughout his life (and balrogs being maiar that can be quite a lot of time) 90% of the time you will find that balrogs DO have wings.
Perhaps the balrog that fell in Moria was in one of those odd 10% of the times where they don't.
EDIT: More to come on this topic real soon