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Besides that, if Balrogs had wings, they wouldn't go tumbling off mountain peaks like the one that Glorfindal fought in the Sil. It just doesn't make sense for them to have wings.
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This, as has been said before, could be a problem of inertia. If a large creature is unexpectedly flung from on high, the force of gravity may render it unable to spread its wings and maneuvre itself during the free fall. The issue has also been raised that these battles could have produced immense physical and psychic strain on the balrogs; in other words, they may have been completely spent by the time they fell.
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I haven't heard of people making up creatures with wings in fantasy that can't fly. Wings, to writers, are there to be used. Balrogs weren't said to have flown, even when it could've saved their lives.
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Be careful -- this is a logical fallacy. 'Tolkien' does not equal 'writers'.