Um, who says Balrog's wings have to be physical limbs? I mean, who says we even have to see them? Balrogs (though I have never met them personally) have that sort of essence that tells you they are winged. Just that bigness, that presence that ethereal quality that makes up their 'wings'. It's just that the 'wings' are an aspect of the Balrog's spirit rather than its physical form.
EDIT: And besides, you can't have a wingless being looking like some ugly wolf standing on hind legs in a faceoff with Gandalf. No way