Well, ok, valid point about Tolkien not creating something with wings that can't fly.
Maybe they could originally fly, but over time they lost the use of their wings. I mean from their age, not through de-evolution. I mean, that Balrog that Gandalf blocked in Moria must have been ancient. I always imagine Balrogs to have wings like bats, so perhaps when a Balrog gets old the membranes start to get brittle and break so they can't fly any more. Either that, or all that fire eventually burns them away, lol. Though, were they fiery in the book? Its been so long since I've read it ^^;
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Because we all know that Balrogs gave the impression of winged creatures. The point is, if it was mere impression, or real wings...
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Hmm, perhaps Balrog's don't actually have wings, but perhaps something on their backs that look very much like wings. Possibly some kind of defence from attack? I mean, some Butterflys' wings have false eyes on them for their predators will attack their wings and not their body. Perhaps Balrogs "wings" were not meant for flying but as a distraction for an attacker? An intelligent attacker would perhaps try to disable wings to stop the target from flying off.