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So i'm with Eomer King of Rohan on that one because it would make more sence that they'd use black magic to teleport, rather than sprint across Middle Earth
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There are a couple of problems with Eomer King of Rohan's suggestion. First, using "black magic to teleport" is unprecedented in Tolkien's work.
Secondly, Balrogs were incarnated Maiar and were thus bound to their bodies and unable to shift into the spiritual plane for travel.