I'm just thinking about this and I voted that the balrogs do have wings; but not necessarily can fly. If I remember correctly; when the Balrog attacks it gets described as having wings at one point.Don't quote me as I don't have the books with me. But a question that is getting asked is if the wings worked. If they did work why couldn't he just fly away from Gandalf in mid-air while they are falling. I don't think everyone will ever be happy with the answer.
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