Balrogs! What fun! *recalls a fateful day when Balrog wings did fly through the air...*
Regardless of whether a Balrog's wings are figurative or literal, they have what are called 'wings.' And of course they're not going to use them to fly! They're just to look more imposing! It's like when a lizard puffs up at you to make himself look bigger, or when a cat's fur stands on end. Why bother to flap those wings if they can just hang there behind you and make you look like a badder demon than you already are? Besides, I'd find it very difficult to chop the wings off the Balrog I have in my mind...
