Sure, Balrogs have 'wings', of a sort - of shadow. More it seems to frighten by enlarging their appearance.
Do they fly? They don't appear to - the one in Moria falls and doesn't advantage himself. And there are other descriptions of balrogs falling to their deaths.
Could they fly? Apparently only in a downward direction.
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Eldest, that’s what I am . . . I knew the dark under the stars when it was fearless - before the Dark Lord came from Outside.
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